sanguo_vnpy_v2/sanguo_trader/portfolio_paper.py

"""组合策略模拟盘实走（E1，spec §13.2 前后端 session 职责）。

设计：每晚 20:30（scheduler 全局 job）对每个 strategy_type=portfolio 的 live
账户，用回测引擎从 start_date **全量重放到今天**，取末日持仓/当日成交/净值落
paper 表。不做增量引擎——回测引擎是单一真相源，避免增量状态与回测口径漂移；
1 年区间全量重放约 2-3 分钟（NAS 26G 库），20:30 后台跑可接受。区间拉长到
数年后可优化为 checkpoint 续跑（见 update_checkpoint）。
"""
from __future__ import annotations

import json
import logging
from datetime import datetime, timedelta
from typing import Any

logger = logging.getLogger(__name__)


def _bj_today() -> str:
    """北京时间今天（NAS 容器 TZ 可能为 UTC）。"""
    return (datetime.utcnow() + timedelta(hours=8)).strftime("%Y-%m-%d")


def _nas_provider_config() -> dict[str, Any]:
    """NAS 容器 unified provider 配置（与 portfolio_worker NAS 分支一致）。"""
    return {
        "db_path": "/volume1/stock/sanguo_vnpy_v2/data_backup/quant_trading.db",
        "data_dir": "/volume1/stock/sanguo_vnpy_v2/data",
    }


def _provider_config() -> dict[str, Any]:
    import os
    if os.path.isdir("/app"):
        return _nas_provider_config()
    # 开发机兜底：默认 data 目录（Mac 无全量数据，step 会因数据缺失跳过）
    return {"mode": "backtest"}


def run_portfolio_live_step(db_path: str, account_id: int, today: str | None = None) -> dict[str, Any]:
    """组合实走单日 step：全量重放 → 当日成交/末日持仓/净值 落库。

    幂等：当日已结算（checkpoint_date == today 或最新净值日期 == today）则跳过。
    """
    import sqlite3

    from sanguo_trader.persistence import (
        load_checkpoint, load_last_balance, save_daily_balance, save_positions,
        save_trade, update_checkpoint,
    )

    today = today or _bj_today()
    with sqlite3.connect(db_path) as conn:
        conn.row_factory = sqlite3.Row
        row = conn.execute("SELECT * FROM paper_accounts WHERE id=?", (account_id,)).fetchone()
    if not row:
        raise ValueError(f"paper account {account_id} not found")
    acc = dict(row)
    if (acc.get("strategy_type") or "cta") != "portfolio":
        raise ValueError(f"account {account_id} 不是 portfolio 类型")
    if acc["status"] != "running":
        return {"account_id": account_id, "skipped": f"status={acc['status']}"}

    # 幂等：今天已结算过
    ck = load_checkpoint(db_path, account_id)
    last_bal = load_last_balance(db_path, account_id)
    if ck == today or (last_bal and last_bal.get("date") == today):
        return {"account_id": account_id, "skipped": "already stepped today"}

    strategies = json.loads(acc["strategies"] or "[]")
    if not strategies:
        raise ValueError("portfolio 账户缺少策略配置")
    strategy_name = strategies[0].get("name", "all_weather")
    pool = (json.loads(acc["symbols"] or "[]") or ["hs300_subset"])[0]
    max_pool = int(strategies[0].get("params", {}).get("max_pool", 0))
    benchmark = strategies[0].get("params", {}).get("benchmark", "000300.XSHG")

    from sanguo_portfolio.runner_backtest import run_backtest_json
    result = run_backtest_json({
        "strategy": strategy_name,
        "pool": pool,
        "max_pool": max_pool,
        "start_date": acc["start_date"],
        "end_date": today,
        "initial_cash": acc["initial_capital"],
        "benchmark": benchmark,
        "commission_rate": acc.get("rate") or 0.0003,
        "stamp_duty_rate": acc.get("stamp_duty_rate") or 0.001,
        "min_commission": acc.get("min_commission") or 5.0,
        "slippage": acc.get("slippage") or 0.0,
        "provider": "unified",
        "provider_config": json.dumps(_provider_config()),
    })

    equity_curve = result.get("equity_curve") or []
    if not equity_curve:
        return {"account_id": account_id, "skipped": "no equity point (数据未到?)"}
    last_point = equity_curve[-1]
    if last_point["date"] <= _acc_last_date(last_bal):
        return {"account_id": account_id, "skipped": "no new trading day"}
    settle_date = last_point["date"]

    # 当日成交（回放里 settle_date 发生的全部交易）
    n_trades = 0
    for t in result.get("trades") or []:
        d = str(t.get("datetime") or t.get("date") or "")
        if not d.startswith(settle_date):
            continue
        side = str(t.get("side") or t.get("action") or "").lower()
        save_trade(db_path, account_id, {
            "strategy_id": strategy_name,
            "datetime": d,
            "symbol": str(t.get("code", "")),
            "direction": "long" if side in ("buy", "open", "多") else "short",
            "offset": "open" if side in ("buy", "open") else "close",
            "match_session": "current_close",
            "price": float(t.get("filled_price") or t.get("price") or 0),
            "volume": int(float(t.get("filled_amount") or t.get("amount") or 0)),
            "commission": float(t.get("commission") or 0),
            "stamp_duty": 0.0,
            "bar_date": settle_date,
        })
        n_trades += 1

    # 末日持仓 + 净值
    stocks = result.get("stocks_selected") or []
    positions_value = sum(float(s.get("value") or 0) for s in stocks)
    equity = float(last_point["equity"])
    save_positions(db_path, account_id, "account", {
        str(s["code"]): {"volume": int(float(s.get("amount", 0))),
                         "frozen": 0,
                         "avg_price": float(s.get("avg_cost", 0) or 0)}
        for s in stocks
    }, date=settle_date)
    save_daily_balance(db_path, account_id, settle_date,
                       cash=equity - positions_value,
                       market_value=positions_value,
                       total_equity=equity)
    update_checkpoint(db_path, account_id, settle_date)

    logger.info("portfolio live step aid=%s date=%s trades=%s equity=%.2f",
                account_id, settle_date, n_trades, equity)
    return {"account_id": account_id, "date": settle_date, "trades": n_trades, "equity": equity}


def _acc_last_date(last_bal: dict | None) -> str:
    """账户已有净值的最新日期（无则空串，任何新数据都算新）。"""
    return (last_bal or {}).get("date") or ""