claude_dev
96b1924fd5
[live] 实盘模拟 vnpy+miniQMT 直连(supervisor 轮询, 前后端): - sanguo_live: LiveTradingEngine + AShareCtaTemplate(定寸/禁做空) + runner_supervisor(DB驱动) + persistence(4表WAL) - sanguo_api/routes_live: 9路由(create/start/stop/positions/trades/account/status) - frontend live: New/List/Monitor + api/live.ts; config/live.yaml [portfolio] 组合回测 MVP(BulletTrade, 链路代码完成待验证): - runner_backtest 加 JSON 入口(--json, BacktestEngine 顶层 import) - sanguo_api/routes_portfolio: POST /portfolio/backtest SSH 触发 VPS 跑 - frontend PortfolioBacktest.vue + api/portfolio.ts: 表单+结果+净值曲线 - 路由/菜单注册(/backtest/portfolio 组合回测) - 已知: MVP 链路未端到端验证, agent 改至中途被停; 待 Mac 起服务联调
118 lines
4.1 KiB
Python
118 lines
4.1 KiB
Python
"""A股 CTA 策略基类:定寸(1 手 = 100 股)+ 禁做空。
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为什么需要这一层:
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- vnpy_qmt 的 send_order 把 ``volume`` 当**股数**直接传给 xtquant,不会自动乘合约 size。
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标准 CtaTemplate 策略写 ``buy(price, 1)`` 表示 1 手 → 实际只下 1 股,会被券商拒单
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或当成废单。AShareCtaTemplate 在 buy/sell/cover 内部把 volume ×= ``self.size``
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(默认 100),让策略保留"手"的语义。
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- A 股不可做空:``short`` 直接返回 [] 并写日志(``forbid_short=True`` 生效时)。
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依赖 vnpy_ctastrategy.CtaTemplate。本机未装时 CtaTemplate fallback 为 ``object``,
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模块 import 不崩,只有运行时实例化或调用方法才会报错。
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"""
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from __future__ import annotations
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import logging
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from typing import Any
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logger = logging.getLogger(__name__)
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try:
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from vnpy_ctastrategy import CtaTemplate # type: ignore
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_HAS_CTA_BASE = True
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_IMPORT_ERROR: Exception | None = None
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except ImportError as _e: # 本机 dev 环境常未装 vnpy_ctastrategy
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CtaTemplate = object # type: ignore[assignment,misc]
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_HAS_CTA_BASE = False
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_IMPORT_ERROR = _e
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class AShareCtaTemplate(CtaTemplate): # type: ignore[misc]
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"""A 股 CTA 策略基类。
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定寸:``buy`` / ``cover`` / ``sell`` 的 ``volume`` 自动 ``×= size``(默认 100,
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即 1 手 = 100 股),不足 1 手向下取整并告警。
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禁做空:``short`` 直接返回 [](由 ``forbid_short`` 控制,默认 True)。
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子类化注意:必须把 ``size``/``forbid_short`` 加入自己的 ``parameters`` 列表,
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否则 ``update_setting`` 不会回填这两个字段。
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"""
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# 1 手 = 100 股(A 股最小交易单位)。ContractData.size 也是 100。
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size: int = 100
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# True: short() 被拦截(A 股不能开空);False: 透传到基类(仅供测试/期货场景)。
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forbid_short: bool = True
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parameters = ["size", "forbid_short"]
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def buy(
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self,
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price: float,
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volume: float,
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stop: bool = False,
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lock: bool = False,
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net: bool = False,
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) -> list:
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"""开多 → A 股买入,定寸到整手。"""
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return super().buy(price, self._to_lots(volume), stop, lock, net)
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def cover(
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self,
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price: float,
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volume: float,
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stop: bool = False,
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lock: bool = False,
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net: bool = False,
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) -> list:
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"""平空 → A 股 Normally 不会触达(禁做空);保留定寸以防策略逻辑误调。"""
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return super().cover(price, self._to_lots(volume), stop, lock, net)
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def sell(
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self,
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price: float,
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volume: float,
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stop: bool = False,
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lock: bool = False,
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net: bool = False,
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) -> list:
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"""平多 → A 股卖出持仓,定寸到整手。"""
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return super().sell(price, self._to_lots(volume), stop, lock, net)
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def short(
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self,
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price: float,
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volume: float,
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stop: bool = False,
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lock: bool = False,
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net: bool = False,
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) -> list:
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"""开空 → A 股不可做空,默认拦截。"""
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if self.forbid_short:
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self.write_log(
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f"A股禁做空: 拦截 short price={price} volume={volume}"
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)
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return []
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return super().short(price, self._to_lots(volume), stop, lock, net)
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def _to_lots(self, volume: float) -> int:
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"""策略手数 → A 股股数(``volume × size``,不足 1 手向下取整)。"""
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target = volume * self.size
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lots = int(target)
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if lots != target:
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logger.warning(
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"%s 定寸出现零股: volume=%s size=%s → %d (向下取整)",
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getattr(self, "strategy_name", "?"), volume, self.size, lots,
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)
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return lots
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def ensure_base_available() -> None:
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"""显式检查 vnpy_ctastrategy 是否就绪。模块加载时容错,真正实盘前调一次。"""
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if not _HAS_CTA_BASE:
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raise RuntimeError(
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f"vnpy_ctastrategy 未安装,无法实例化 AShareCtaTemplate: {_IMPORT_ERROR}"
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)
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__all__ = ["AShareCtaTemplate", "ensure_base_available"]
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