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)
76 lines
3.0 KiB
Python
76 lines
3.0 KiB
Python
"""模拟盘总账：资金 T+0 / 合并持仓 / 净值盯市（spec §7 双层记账总账层）。
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- cash 资金 T+0：卖出回笼资金当日即可再买（A 股硬规则）
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- 股票 T+1：买入持仓由 PositionLedger.frozen 管，次日 unfreeze_all 解冻
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- transfer_fee：matcher 已出双向总额（review H3），Account 直接用，不再 ×2
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- 资金检查 cash_enough 在买单 apply 前由 PaperEngine 调用
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"""
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from .models import OrderSide, PaperTrade
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from .position_ledger import PositionLedger
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class Account:
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def __init__(self, initial_capital: float) -> None:
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self.cash: float = float(initial_capital)
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self.positions: dict[str, PositionLedger] = {}
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self.market_value: float = 0.0
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def _position(self, symbol: str) -> PositionLedger:
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if symbol not in self.positions:
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self.positions[symbol] = PositionLedger(symbol)
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return self.positions[symbol]
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def cash_enough(self, trade: PaperTrade) -> bool:
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"""买单检查现金是否足够（卖出不检查，持仓检查在 PositionLedger）。"""
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if trade.side != OrderSide.BUY:
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return True
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cost = trade.price * trade.volume + trade.commission + trade.transfer_fee
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return self.cash >= cost
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def apply_trade(self, trade: PaperTrade) -> None:
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pos = self._position(trade.symbol)
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if trade.side == OrderSide.BUY:
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cost = trade.price * trade.volume + trade.commission + trade.transfer_fee
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self.cash -= cost
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pos.apply_buy(trade.price, trade.volume)
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else:
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proceeds = (
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trade.price * trade.volume
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- trade.commission - trade.stamp_duty - trade.transfer_fee
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)
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self.cash += proceeds # 资金 T+0：卖出现金立即可用
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pos.apply_sell(trade.price, trade.volume)
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def unfreeze_all(self) -> None:
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"""每日开盘前：T+1 解冻所有持仓。"""
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for p in self.positions.values():
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p.unfreeze()
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def apply_cash_dividend(self, symbol: str, per_share: float) -> None:
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"""现金分红到账：cash += per_share × 持仓量（spec §295）。
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按 A 股惯例按除权日前一交易日持仓量派发；无持仓/非正值 no-op。
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"""
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if per_share <= 0:
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return
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pos = self.positions.get(symbol)
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if pos is None or pos.volume <= 0:
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return
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self.cash += per_share * pos.volume
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def mark_to_market(self, bars_raw: dict[str, float],
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prev_close: dict[str, float] | None = None) -> None:
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"""按 raw 收盘价重估合并持仓市值（spec §295 停牌盯市兜底）。
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bar 缺失（停牌）→ 用前日 close 兜底，再退到 avg_price。
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"""
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prev_close = prev_close or {}
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self.market_value = sum(
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p.volume * bars_raw.get(sym, prev_close.get(sym, p.avg_price))
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for sym, p in self.positions.items()
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)
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@property
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def equity(self) -> float:
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return self.cash + self.market_value
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