claude_dev
a68cf4905e
把聚宽"全天候轮动"(post48819)搬到 BulletTrade。融合=pip+扩展点注入 (SanguoMiniQmtProvider 继承 MiniQMTProvider 只 override get_fundamentals, set_data_provider 公开 API 注入, BulletTrade 源码 0 改动)。 - providers: SanguoMiniQmtProvider 补 get_fundamentals(PershareIndex+自算PE/PS/PB/PCF/市值/ROIC) - strategies/all_weather: 4选股函数+大小盘轮动+ETF兜底+涨停止损(聚宽风格翻译) - factors(估值/ROIC自算) + filters(ST/涨跌停/次新/停牌) - 88/88 测试 Mac+VPS 双过; VPS 回测 pipeline 跑通(修9bug:Capital单位/日期格式/百分数口径/11字段alias) - 实盘 runner_live+runbook 就绪等交易日; DEFAULT_DATA_PROVIDER=miniqmt env 不装 jqdatasdk - 文档: sanguo_portfolio_plan / portfolio_backtest_result / portfolio_live_runbook
111 lines
3.6 KiB
Python
111 lines
3.6 KiB
Python
"""全天候策略实盘入口(VPS Windows / miniQMT 直连)。
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**实盘就绪,但需在交易日+miniQMT 连接下首次跑**。
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用法:
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set DEFAULT_DATA_PROVIDER=miniqmt
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set MINIQMT_MARKET=SH
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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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"""
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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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from typing import Any, Dict
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logger = logging.getLogger(__name__)
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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 build_broker_facade() -> Any:
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"""实盘 BrokerFacade:委托 bullet_trade 顶层聚宽风格 API + QmtBroker。"""
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from .strategies.all_weather import BrokerFacade
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from bullet_trade.core.api import ( # type: ignore
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order_target_value as bt_otv,
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order_value as bt_ov,
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set_benchmark, set_option, set_slippage, set_order_cost,
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run_daily, run_monthly,
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)
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return BrokerFacade(
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order_target_value=lambda c, v: bt_otv(c, v),
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order_value=lambda c, v: bt_ov(c, v),
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set_benchmark=set_benchmark,
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set_option=set_option,
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set_slippage=set_slippage,
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set_order_cost=set_order_cost,
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run_daily=run_daily,
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run_monthly=run_monthly,
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)
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def run_live(provider_config: Dict[str, Any] | None = None) -> None:
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"""启动 LiveEngine + AllWeatherStrategy。
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LiveEngine 负责驱动 scheduler(context.current_dt 推进)和下单路由。
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我们负责把 provider/broker 注入 AllWeatherStrategy。
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"""
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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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from .strategies import AllWeatherConfig, AllWeatherStrategy
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provider = build_provider(provider_config)
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set_data_provider(provider)
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broker_facade = build_broker_facade()
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strategy = AllWeatherStrategy(
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provider=provider,
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broker=broker_facade,
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config=AllWeatherConfig(),
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)
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def initialize(context):
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strategy.initialize(context)
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# QmtBroker 需要 account_id + data_path(miniQMT userdata_mini)。
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# 从 env 读(与 sanguo_live 约定一致),缺 account 拒绝启动避免误下单。
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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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if not 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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broker = QmtBroker(account_id=account, data_path=mini_path)
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logger.info("QmtBroker 装配 account=%s data_path=%s", account, mini_path)
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# 小资金 1e6 起步,等交易日观察(9:05 prepare / 月初 9:30 monthly / 14:00 stop_loss)
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engine = LiveEngine(
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initialize=initialize,
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initial_cash=1_000_000.0,
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broker=broker,
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)
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logger.info("AllWeather live engine 启动,等交易日触发 monthly_adjustment")
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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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