149 lines
6.2 KiB
Python
149 lines
6.2 KiB
Python
"""组合策略模拟盘实走（E1，spec §13.2 前后端 session 职责）。
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设计：每晚 20:30（scheduler 全局 job）对每个 strategy_type=portfolio 的 live
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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
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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；
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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
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数年后可优化为 checkpoint 续跑（见 update_checkpoint）。
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"""
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from __future__ import annotations
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import json
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import logging
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from datetime import datetime, timedelta
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from typing import Any
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logger = logging.getLogger(__name__)
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def _bj_today() -> str:
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"""北京时间今天（NAS 容器 TZ 可能为 UTC）。"""
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return (datetime.utcnow() + timedelta(hours=8)).strftime("%Y-%m-%d")
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def _nas_provider_config() -> dict[str, Any]:
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"""NAS 容器 unified provider 配置（与 portfolio_worker NAS 分支一致）。"""
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return {
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"db_path": "/volume1/stock/sanguo_vnpy_v2/data_backup/quant_trading.db",
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"data_dir": "/volume1/stock/sanguo_vnpy_v2/data",
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}
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def _provider_config() -> dict[str, Any]:
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import os
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if os.path.isdir("/app"):
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return _nas_provider_config()
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# 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）
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return {"mode": "backtest"}
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def run_portfolio_live_step(db_path: str, account_id: int, today: str | None = None) -> dict[str, Any]:
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"""组合实走单日 step：全量重放 → 当日成交/末日持仓/净值 落库。
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幂等：当日已结算（checkpoint_date == today 或最新净值日期 == today）则跳过。
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"""
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import sqlite3
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from sanguo_trader.persistence import (
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load_checkpoint, load_last_balance, save_daily_balance, save_positions,
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save_trade, update_checkpoint,
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)
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today = today or _bj_today()
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with sqlite3.connect(db_path) as conn:
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conn.row_factory = sqlite3.Row
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row = conn.execute("SELECT * FROM paper_accounts WHERE id=?", (account_id,)).fetchone()
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if not row:
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raise ValueError(f"paper account {account_id} not found")
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acc = dict(row)
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if (acc.get("strategy_type") or "cta") != "portfolio":
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raise ValueError(f"account {account_id} 不是 portfolio 类型")
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if acc["status"] != "running":
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return {"account_id": account_id, "skipped": f"status={acc['status']}"}
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# 幂等：今天已结算过
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ck = load_checkpoint(db_path, account_id)
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last_bal = load_last_balance(db_path, account_id)
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if ck == today or (last_bal and last_bal.get("date") == today):
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return {"account_id": account_id, "skipped": "already stepped today"}
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strategies = json.loads(acc["strategies"] or "[]")
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if not strategies:
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raise ValueError("portfolio 账户缺少策略配置")
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strategy_name = strategies[0].get("name", "all_weather")
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pool = (json.loads(acc["symbols"] or "[]") or ["hs300_subset"])[0]
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max_pool = int(strategies[0].get("params", {}).get("max_pool", 30))
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benchmark = strategies[0].get("params", {}).get("benchmark", "000300.XSHG")
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from sanguo_portfolio.runner_backtest import run_backtest_json
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result = run_backtest_json({
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"strategy": strategy_name,
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"pool": pool,
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"max_pool": max_pool,
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"start_date": acc["start_date"],
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"end_date": today,
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"initial_cash": acc["initial_capital"],
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"benchmark": benchmark,
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"commission_rate": acc.get("rate") or 0.0003,
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"stamp_duty_rate": acc.get("stamp_duty_rate") or 0.001,
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"min_commission": acc.get("min_commission") or 5.0,
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"slippage": acc.get("slippage") or 0.0,
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"provider": "unified",
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"provider_config": json.dumps(_provider_config()),
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})
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equity_curve = result.get("equity_curve") or []
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if not equity_curve:
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return {"account_id": account_id, "skipped": "no equity point (数据未到?)"}
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last_point = equity_curve[-1]
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if last_point["date"] <= _acc_last_date(last_bal):
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return {"account_id": account_id, "skipped": "no new trading day"}
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settle_date = last_point["date"]
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# 当日成交（回放里 settle_date 发生的全部交易）
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n_trades = 0
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for t in result.get("trades") or []:
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d = str(t.get("datetime") or t.get("date") or "")
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if not d.startswith(settle_date):
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continue
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side = str(t.get("side") or t.get("action") or "").lower()
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save_trade(db_path, account_id, {
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"strategy_id": strategy_name,
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"datetime": d,
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"symbol": str(t.get("code", "")),
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"direction": "long" if side in ("buy", "open", "多") else "short",
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"offset": "open" if side in ("buy", "open") else "close",
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"match_session": "current_close",
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"price": float(t.get("filled_price") or t.get("price") or 0),
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"volume": int(float(t.get("filled_amount") or t.get("amount") or 0)),
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"commission": float(t.get("commission") or 0),
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"stamp_duty": 0.0,
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"bar_date": settle_date,
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})
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n_trades += 1
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# 末日持仓 + 净值
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stocks = result.get("stocks_selected") or []
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positions_value = sum(float(s.get("value") or 0) for s in stocks)
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equity = float(last_point["equity"])
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save_positions(db_path, account_id, "account", {
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str(s["code"]): {"volume": int(float(s.get("amount", 0))),
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"frozen": 0,
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"avg_price": float(s.get("avg_cost", 0) or 0)}
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for s in stocks
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}, date=settle_date)
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save_daily_balance(db_path, account_id, settle_date,
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cash=equity - positions_value,
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market_value=positions_value,
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total_equity=equity)
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update_checkpoint(db_path, account_id, settle_date)
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logger.info("portfolio live step aid=%s date=%s trades=%s equity=%.2f",
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account_id, settle_date, n_trades, equity)
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return {"account_id": account_id, "date": settle_date, "trades": n_trades, "equity": equity}
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def _acc_last_date(last_bal: dict | None) -> str:
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"""账户已有净值的最新日期（无则空串，任何新数据都算新）。"""
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return (last_bal or {}).get("date") or ""
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