claude_dev
191270c884
2026-08-25 事故:small_cap同轮「全卖19只→马上全买20只」在两轮归因轮询间隙 读台账现金,卖出回款不可见→20笔买入全部目标0、全天空仓;momentum同型撞运 只入账首笔79k/6=13.2k缩水44%仓;value无卖后买序列满额(反证)。QMT无责 (0.5s filled/券商现金即时/下单线程同步见filled),gap=runner_live.py归因 poller 60s一轮才调ledger.apply_trade(唯一cash更新入口,DB落库时间戳恰差60s 铁证)。 修法(B,治本现金新鲜度): - LiveInstanceLedger.on_order_done钩子+notify_order_done(未注入/抛错静默, 绝不阻断下单;漏单由轮询兜底);apply_trade幂等判定整体移入锁内——钩子 (策略线程)与轮询(poller线程)并发同步同一笔成交时恰好一笔入账,防双计 - live_strategy._instance_order_wrappers:所有真实委托(bt_order/透传)返回后 _done()触发即时归因;决策层不下单的路径不触发 - runner_live:engine装配后注入on_order_done=_sync_instance_trades闭包; 60s轮询保留兜底(部分成交后续/异步路径) 测试+8:钩子三态(nop/触发/吞异常)+8线程同trade_id并发恰入账一次(竞态回归) +wrapper卖出/买入/透传触发+不下单不触发;portfolio 459绿+api 170绿 [vps]
290 lines
12 KiB
Python
290 lines
12 KiB
Python
"""组合策略实盘入口(VPS Windows / miniQMT 直连)——bullet_trade 0.9.2 LiveEngine。
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supervisor(``sanguo_live.runner.run_supervisor``) 对 strategy_type='portfolio' 的
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live_accounts 行以**子进程**方式拉起本模块,env 传参:
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SANGUO_QMT_ACCOUNT / SANGUO_QMT_PATH miniQMT 交易账号 / userdata_mini 路径
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SANGUO_LIVE_STRATEGY / _MAX_POOL / _BENCHMARK 组合策略配置
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SANGUO_LIVE_CASH 初始资金(engine NAV 基准)
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SANGUO_LIVE_DB / SANGUO_LIVE_ACCOUNT_ID 快照落库目标(缺省不落)
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手动用法(交易日 + miniQMT 连接下):
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set SANGUO_QMT_ACCOUNT=66639661
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python -m sanguo_portfolio.runner_live
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不在 Mac 跑(Mac 无 xtquant/miniQMT 客户端)。
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历史注记:0.2 之前的 bullet_trade LiveEngine 接受 ``initialize=/broker=`` 直传,
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0.9.x 改为 strategy_file + broker_factory——本模块即按新 API 装配,策略逻辑在
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``sanguo_portfolio/live_strategy.py``(适配文件)。
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"""
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from __future__ import annotations
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# ENV GUARD 必须早于任何 bullet_trade import
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import os
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os.environ.setdefault("DEFAULT_DATA_PROVIDER", "miniqmt")
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import logging
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import threading
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import time
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from pathlib import Path
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from typing import Any, Dict
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logger = logging.getLogger(__name__)
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ADAPTER_FILE = Path(__file__).resolve().parent / "live_strategy.py"
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def build_provider(provider_config: Dict[str, Any] | None = None) -> Any:
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"""构造 live 模式的 SanguoMiniQmtProvider。"""
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from .providers import SanguoMiniQmtProvider
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cfg = dict(provider_config or {})
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cfg.setdefault("mode", "live")
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cfg.setdefault("auto_download", True)
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return SanguoMiniQmtProvider(cfg)
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def live_env() -> Dict[str, str]:
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"""解析 env 实盘配置(带默认值)。独立出来便于单测。"""
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return {
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"strategy": os.environ.get("SANGUO_LIVE_STRATEGY", "all_weather"),
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"max_pool": os.environ.get("SANGUO_LIVE_MAX_POOL", "0"),
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"benchmark": os.environ.get("SANGUO_LIVE_BENCHMARK", "000300.XSHG"),
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"cash": os.environ.get("SANGUO_LIVE_CASH", "1000000"),
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"account": os.environ.get("SANGUO_QMT_ACCOUNT", ""),
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"mini_path": (os.environ.get("SANGUO_QMT_PATH")
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or r"C:\国金QMT交易端模拟\userdata_mini"),
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"db": os.environ.get("SANGUO_LIVE_DB", ""),
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"account_id": os.environ.get("SANGUO_LIVE_ACCOUNT_ID", ""),
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}
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def _effective_trade_time(trade: Any) -> Any:
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"""成交时间守卫(2026-08-20 事故):QMT 原始成交时间经引擎 pd.to_datetime 的
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失败形态会落成 1970-01-01 00:00:01 的 datetime——当日 9 笔 traded_at=1970
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落库,前端"今日成交"按日期过滤全空 + 账本 trade_date 失真(T+1 视图错)。
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年份<2000 一律视为无效,回退当前时刻:归因轮询间隔 ≤60s,日期误差只剩
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跨日 60s 窗口,可忽略。"""
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from datetime import datetime
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v = getattr(trade, "time", None)
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if isinstance(v, datetime) and v.year >= 2000:
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return v
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return datetime.now()
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def _sync_instance_trades(
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engine: Any, ledger: Any, db: str, account_id: int, strategy_name: str,
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) -> None:
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"""归因成交:engine.get_trades() 只留 order_id ∈ engine.get_orders() 的部分。
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共享 QMT 账户下 broker 成交是全账户的(8 路策略+手动);引擎 _orders 只登记
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本进程提交的订单,且 Trade.order_id 已被引擎映射回本实例 id 空间
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(_broker_order_index)——「本实例订单」的判定天然成立。归因后的成交:
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①驱动实例虚拟账本 ②落 live_trades(account_id=本实例,方向取自订单)。
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跨日:QMT 只查当日成交,历史靠 DB 已存行(重启时 restore_from_trades 重放)。
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"""
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from sanguo_live.persistence import save_trade
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try:
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orders = engine.get_orders() or {}
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own_buy: Dict[str, bool] = {
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str(oid): bool(getattr(o, "is_buy", True))
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for oid, o in orders.items()
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}
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trades = engine.get_trades() or {}
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except Exception as e: # noqa: BLE001
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logger.warning("[live-trades] 查订单/成交失败 (account=%s): %s", account_id, e)
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return
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for tid, t in trades.items():
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oid = str(getattr(t, "order_id", ""))
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if oid not in own_buy:
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continue # 别家实例/手动单,不归因给本实例
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is_buy = own_buy[oid]
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t_time = _effective_trade_time(t)
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date_str = t_time.strftime("%Y-%m-%d")
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applied = ledger.apply_trade(
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is_buy=is_buy,
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symbol=str(getattr(t, "security", "")),
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price=float(getattr(t, "price", 0) or 0),
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volume=int(getattr(t, "amount", 0) or 0),
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trade_id=str(tid),
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trade_date=date_str[:10],
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fee=(float(getattr(t, "commission", 0) or 0)
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+ float(getattr(t, "tax", 0) or 0)) or None,
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)
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if not applied:
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continue
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save_trade(db, account_id, {
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"strategy_name": strategy_name,
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"symbol": str(getattr(t, "security", "")),
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"direction": "buy" if is_buy else "sell",
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"offset": "open" if is_buy else "close",
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"price": float(getattr(t, "price", 0) or 0),
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"volume": int(getattr(t, "amount", 0) or 0),
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"traded_at": (t_time.strftime("%Y-%m-%d %H:%M:%S")
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if hasattr(t_time, "strftime") else str(t_time or "")),
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"vt_tradeid": str(tid),
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})
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logger.info("[live-trades] 本实例成交落库 (account=%s %s %s x%s@%s)",
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account_id, "买入" if is_buy else "卖出",
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getattr(t, "security", ""), getattr(t, "amount", 0),
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getattr(t, "price", 0))
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def _snapshot_once(engine: Any, db: str, account_id: int, ledger: Any) -> None:
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"""单次快照:**实例虚拟账本** → live_positions/live_balance。
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2026-08-19 前落的是 context.portfolio(全账户)——8 实例同写一份全账户持仓、
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收益率=全账户/初始资金(共享 QMT 账号下毫无意义)。改落实例视图:
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- positions = 账本持仓(T+1 冻结=当日买入);
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- balance = 账本现金 + 持仓市值(价格取全账户快照的现价,取不到用加权成本)。
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全账户真实数字由 QMT 客户端随时可查,不再经本表透传。
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"""
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from datetime import datetime
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from sanguo_live.persistence import save_balance, save_positions
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now_date = datetime.now().strftime("%Y-%m-%d")
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view = ledger.positions_view(now_date)
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positions: Dict[str, Dict[str, Any]] = {
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sym: {
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"volume": float(p["amount"]),
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"frozen": float(p["amount"] - p["closeable_amount"]),
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"avg_price": float(p["avg_cost"]),
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}
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for sym, p in view.items()
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}
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save_positions(db, account_id, positions)
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# 现价:全账户快照里有(本实例持仓必是其子集);取不到退加权成本
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prices: Dict[str, float] = {}
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for sym, pos in (getattr(engine.context.portfolio, "positions", None)
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or {}).items():
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price = float(getattr(pos, "price", 0) or 0) \
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or float(getattr(pos, "current_price", 0) or 0)
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if price > 0:
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prices[str(sym)] = price
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cash, mv, total = ledger.equity(prices)
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save_balance(
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db, account_id, datetime.now().strftime("%Y-%m-%d %H:%M:%S"),
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cash, market_value=mv, total=total,
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)
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def _snapshot_loop(engine: Any, db: str, account_id: int, ledger: Any,
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interval_sec: float = 60.0,
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snap_min_interval: float = 300.0) -> None:
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"""后台线程:归因成交→实例账本→快照落库(供 API 读)。
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归因轮询每 60s;快照(positions+balance)只在**有新成交或 ≥5 分钟**时写——
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旧版 60s 无脑写 balance(1440 行/天/实例,2026-08-19 上午 8 账户 4848 行)
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量偏大遗留一并治。任何异常只 warning 不中断(engine 主循环不受影响)。
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"""
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strategy_name = os.environ.get("SANGUO_LIVE_STRATEGY", "")
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last_snap = 0.0
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while True:
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time.sleep(interval_sec)
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try:
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_sync_instance_trades(engine, ledger, db, account_id, strategy_name)
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now = time.time()
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if ledger.dirty or now - last_snap >= snap_min_interval:
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_snapshot_once(engine, db, account_id, ledger)
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ledger.dirty = False
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last_snap = now
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except Exception as e: # noqa: BLE001
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logger.warning("[live-snapshot] 落库失败 (account=%s): %s", account_id, e)
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def _instance_adapter(account_id: str) -> Path:
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"""按账户复制一份策略适配文件。
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bullet_trade 实例锁判重键=主机+strategy_path+broker_type+account_identity;
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多实盘共用同一 QMT 账号(合法场景:同账号跑多策略)时 strategy_path 相同会被
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误判"重复实例"拒启 → 每账户一份副本(内容同、路径异)即视为不同逻辑实例。
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"""
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if not account_id:
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return ADAPTER_FILE
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dst = (Path(__file__).resolve().parent.parent / "runtime"
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/ f"live_{account_id}" / ADAPTER_FILE.name)
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dst.parent.mkdir(parents=True, exist_ok=True)
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if not dst.exists() or dst.read_text(encoding="utf-8") != \
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ADAPTER_FILE.read_text(encoding="utf-8"):
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import shutil
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shutil.copyfile(ADAPTER_FILE, dst)
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return dst
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def run_live(provider_config: Dict[str, Any] | None = None) -> None:
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"""装配 LiveEngine(strategy_file=适配文件 + QmtBroker)并 run(阻塞)。"""
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from bullet_trade.core.live_engine import LiveEngine # type: ignore
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from bullet_trade.data.api import set_data_provider # type: ignore
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from bullet_trade.broker.qmt import QmtBroker # type: ignore
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cfg = live_env()
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if not cfg["account"]:
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raise RuntimeError(
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"缺 SANGUO_QMT_ACCOUNT(miniQMT 交易账号),实盘无法启动。"
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"设 set SANGUO_QMT_ACCOUNT=66639661 后重试。"
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)
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provider = build_provider(provider_config)
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set_data_provider(provider)
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broker = QmtBroker(account_id=cfg["account"], data_path=cfg["mini_path"])
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logger.info("QmtBroker 装配 account=%s data_path=%s", cfg["account"], cfg["mini_path"])
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# 实例虚拟账本(共享 QMT 账户的切片视图,2026-08-19 互卖/对账/收益率三问题同根):
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# 先建+恢复再起 engine——适配层 _setup 经 get_active() 注入 facade 通道
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from .live_instance_ledger import LiveInstanceLedger, set_active
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ledger = LiveInstanceLedger(initial_cash=float(cfg["cash"] or 1_000_000))
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if cfg["db"] and cfg["account_id"]:
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try:
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from sanguo_live.persistence import list_trades
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n = ledger.restore_from_trades(
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list_trades(cfg["db"], int(cfg["account_id"])))
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logger.info("[instance-ledger] 恢复 %d 笔: cash=%.2f 持仓 %d 只",
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n, ledger.cash, len(ledger.positions))
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except Exception as e: # noqa: BLE001 - 无库/表未建不阻断启动(空账本起跑)
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logger.warning("[instance-ledger] 恢复失败,空账本起跑: %s", e)
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set_active(ledger)
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engine = LiveEngine(
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_instance_adapter(cfg["account_id"]),
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broker_factory=lambda: broker,
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# bullet_trade 每实例锁 runtime 目录(单实例设计);多实盘并行须各用独立目录
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live_config={"runtime_dir": str(
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Path(__file__).resolve().parent.parent / "runtime"
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/ f"live_{cfg['account_id'] or 'solo'}")},
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)
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logger.info(
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"组合 live engine 启动: strategy=%s max_pool=%s benchmark=%s cash=%s",
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cfg["strategy"], cfg["max_pool"], cfg["benchmark"], cfg["cash"],
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)
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# 快照落库(supervisor 注入 db+account_id 时才开)
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if cfg["db"] and cfg["account_id"]:
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# B 修法(2026-08-25 卖后买现金窗口):下单返回后即时归因——台账 cash
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# 秒级新鲜,同轮「全卖→马上全买」的调仓立刻见到卖出回款;60s 归因
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# 轮询(_snapshot_loop)保留兜底(部分成交后续/异步路径)。
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ledger.on_order_done = lambda: _sync_instance_trades(
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engine, ledger, cfg["db"], int(cfg["account_id"]), cfg["strategy"])
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t = threading.Thread(
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target=_snapshot_loop,
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args=(engine, cfg["db"], int(cfg["account_id"]), ledger),
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daemon=True, name="live-snapshot",
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)
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t.start()
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engine.run()
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def main() -> None:
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logging.basicConfig(level=logging.INFO, format="%(asctime)s %(levelname)s %(name)s: %(message)s")
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run_live()
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if __name__ == "__main__":
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main()
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