claude_dev
96b1924fd5
[live] 实盘模拟 vnpy+miniQMT 直连(supervisor 轮询, 前后端): - sanguo_live: LiveTradingEngine + AShareCtaTemplate(定寸/禁做空) + runner_supervisor(DB驱动) + persistence(4表WAL) - sanguo_api/routes_live: 9路由(create/start/stop/positions/trades/account/status) - frontend live: New/List/Monitor + api/live.ts; config/live.yaml [portfolio] 组合回测 MVP(BulletTrade, 链路代码完成待验证): - runner_backtest 加 JSON 入口(--json, BacktestEngine 顶层 import) - sanguo_api/routes_portfolio: POST /portfolio/backtest SSH 触发 VPS 跑 - frontend PortfolioBacktest.vue + api/portfolio.ts: 表单+结果+净值曲线 - 路由/菜单注册(/backtest/portfolio 组合回测) - 已知: MVP 链路未端到端验证, agent 改至中途被停; 待 Mac 起服务联调
281 lines
9.3 KiB
Python
281 lines
9.3 KiB
Python
"""实盘模拟 SQLite 持久化(4 表,spec §live-api)。
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表：live_accounts / live_trades / live_positions / live_balance
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WAL 模式支持 supervisor 进程写 + API 进程读（DB 解耦,spec §live-api）。
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设计参考 ``sanguo_trader/persistence.py``（paper_* 表），但：
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- account.setting 存 JSON 字符串（策略参数透传给 CtaTemplate.update_setting）
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- status: stopped | running（API 改字段,supervisor 轮询该字段决定起停）
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- positions 为覆盖式快照（supervisor 定时把 OMS PositionData 落库,不做增量）
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"""
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from __future__ import annotations
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import json
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import sqlite3
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from datetime import datetime, timezone
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from pathlib import Path
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from typing import Any
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SCHEMA = """
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CREATE TABLE IF NOT EXISTS live_accounts (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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name TEXT,
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account TEXT,
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vt_symbol TEXT,
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strategy_class TEXT,
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strategy_name TEXT,
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setting TEXT,
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status TEXT,
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interval TEXT,
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initial_capital REAL,
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connect_wait_sec INTEGER,
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init_wait_sec INTEGER,
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mini_path TEXT,
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error_msg TEXT,
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created_at TEXT,
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updated_at TEXT
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);
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CREATE TABLE IF NOT EXISTS live_trades (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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account_id INTEGER,
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strategy_name TEXT,
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symbol TEXT,
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direction TEXT,
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offset TEXT,
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price REAL,
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volume REAL,
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traded_at TEXT,
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vt_tradeid TEXT
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);
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CREATE TABLE IF NOT EXISTS live_positions (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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account_id INTEGER,
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symbol TEXT,
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volume REAL,
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frozen REAL,
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avg_price REAL,
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updated_at TEXT,
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UNIQUE(account_id, symbol)
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);
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CREATE TABLE IF NOT EXISTS live_balance (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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account_id INTEGER,
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date TEXT,
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cash REAL,
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market_value REAL,
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total REAL
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);
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CREATE INDEX IF NOT EXISTS idx_live_trades_account ON live_trades(account_id);
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CREATE INDEX IF NOT EXISTS idx_live_balance_account ON live_balance(account_id, date);
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"""
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def _now() -> str:
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return datetime.now(timezone.utc).isoformat()
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def init_db(db_path: str) -> None:
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Path(db_path).parent.mkdir(parents=True, exist_ok=True)
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with sqlite3.connect(db_path) as conn:
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conn.executescript(SCHEMA)
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conn.execute("PRAGMA journal_mode=WAL")
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conn.commit()
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# ----------------- live_accounts CRUD -----------------
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def save_account(db_path: str, account: dict[str, Any]) -> int:
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with sqlite3.connect(db_path) as conn:
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cur = conn.execute(
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"""INSERT INTO live_accounts
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(name, account, vt_symbol, strategy_class, strategy_name, setting,
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status, interval, initial_capital, connect_wait_sec, init_wait_sec,
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mini_path, created_at, updated_at)
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VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
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(
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account.get("name", "live"),
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account.get("account", ""),
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account.get("vt_symbol", ""),
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account.get("strategy_class", "AShareDoubleMaStrategy"),
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account.get("strategy_name", ""),
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json.dumps(account.get("setting", {})),
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account.get("status", "stopped"),
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account.get("interval", "15m"),
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account.get("initial_capital", 1_000_000),
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int(account.get("connect_wait_sec", 10)),
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int(account.get("init_wait_sec", 60)),
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account.get("mini_path", ""),
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_now(), _now(),
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),
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)
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conn.commit()
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return cur.lastrowid
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def list_accounts(db_path: str) -> list[dict]:
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with sqlite3.connect(db_path) as conn:
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conn.row_factory = sqlite3.Row
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cur = conn.execute("SELECT * FROM live_accounts ORDER BY id DESC")
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return [dict(r) for r in cur.fetchall()]
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def get_account(db_path: str, account_id: int) -> dict | None:
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with sqlite3.connect(db_path) as conn:
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conn.row_factory = sqlite3.Row
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cur = conn.execute(
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"SELECT * FROM live_accounts WHERE id=?", (account_id,)
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)
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row = cur.fetchone()
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return dict(row) if row else None
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def update_account_status(
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db_path: str, account_id: int, status: str, error_msg: str = ""
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) -> None:
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with sqlite3.connect(db_path) as conn:
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conn.execute(
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"UPDATE live_accounts SET status=?, error_msg=?, updated_at=? WHERE id=?",
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(status, error_msg, _now(), account_id),
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)
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conn.commit()
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def list_running_accounts(db_path: str) -> list[dict]:
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"""supervisor 轮询：取所有 status=running 的实例。"""
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with sqlite3.connect(db_path) as conn:
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conn.row_factory = sqlite3.Row
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cur = conn.execute(
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"SELECT * FROM live_accounts WHERE status=? ORDER BY id", ("running",)
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)
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return [dict(r) for r in cur.fetchall()]
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# ----------------- live_trades -----------------
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def save_trade(db_path: str, account_id: int, trade: dict[str, Any]) -> int:
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with sqlite3.connect(db_path) as conn:
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cur = conn.execute(
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"""INSERT INTO live_trades
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(account_id, strategy_name, symbol, direction, offset,
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price, volume, traded_at, vt_tradeid)
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VALUES (?,?,?,?,?,?,?,?,?)""",
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(
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account_id, trade.get("strategy_name", ""),
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trade.get("symbol", ""), trade.get("direction", ""),
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trade.get("offset", ""), trade.get("price", 0),
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trade.get("volume", 0), trade.get("traded_at", ""),
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trade.get("vt_tradeid", ""),
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),
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)
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conn.commit()
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return cur.lastrowid
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def list_trades(db_path: str, account_id: int) -> list[dict]:
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with sqlite3.connect(db_path) as conn:
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conn.row_factory = sqlite3.Row
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cur = conn.execute(
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"SELECT * FROM live_trades WHERE account_id=? ORDER BY id",
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(account_id,),
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)
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return [dict(r) for r in cur.fetchall()]
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# ----------------- live_positions (覆盖式快照) -----------------
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def save_positions(
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db_path: str, account_id: int, positions: dict[str, dict]
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) -> None:
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"""覆盖式落库。positions = {symbol: {volume, frozen, avg_price}}。
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supervisor 每 snapshot_interval_sec 调一次,把 OMS 最新 PositionData 覆盖落库。
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只保留 volume>0 的持仓。
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"""
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now = _now()
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with sqlite3.connect(db_path) as conn:
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conn.execute("DELETE FROM live_positions WHERE account_id=?", (account_id,))
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conn.executemany(
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"""INSERT INTO live_positions
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(account_id, symbol, volume, frozen, avg_price, updated_at)
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VALUES (?,?,?,?,?,?)""",
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[
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(account_id, sym, p["volume"], p.get("frozen", 0),
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p["avg_price"], now)
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for sym, p in positions.items() if p.get("volume", 0) > 0
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],
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)
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conn.commit()
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def load_positions(db_path: str, account_id: int) -> list[dict]:
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"""API 读持仓快照 → [{symbol, volume, frozen, avg_price, updated_at}]。"""
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with sqlite3.connect(db_path) as conn:
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conn.row_factory = sqlite3.Row
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cur = conn.execute(
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"SELECT symbol, volume, frozen, avg_price, updated_at "
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"FROM live_positions WHERE account_id=?",
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(account_id,),
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)
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return [dict(r) for r in cur.fetchall()]
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# ----------------- live_balance -----------------
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def save_balance(
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db_path: str, account_id: int, date: str, cash: float,
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market_value: float, total: float
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) -> None:
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with sqlite3.connect(db_path) as conn:
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conn.execute(
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"""INSERT INTO live_balance
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(account_id, date, cash, market_value, total)
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VALUES (?,?,?,?,?)""",
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(account_id, date, cash, market_value, total),
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)
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conn.commit()
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def list_balance(db_path: str, account_id: int) -> list[dict]:
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with sqlite3.connect(db_path) as conn:
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conn.row_factory = sqlite3.Row
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cur = conn.execute(
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"SELECT * FROM live_balance WHERE account_id=? ORDER BY date, id",
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(account_id,),
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)
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return [dict(r) for r in cur.fetchall()]
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def get_last_balance(db_path: str, account_id: int) -> dict | None:
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"""最新一条账户快照(API /live/{aid}/account)。"""
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with sqlite3.connect(db_path) as conn:
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conn.row_factory = sqlite3.Row
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cur = conn.execute(
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"SELECT account_id, date, cash, market_value, total "
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"FROM live_balance WHERE account_id=? ORDER BY id DESC LIMIT 1",
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(account_id,),
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)
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row = cur.fetchone()
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return dict(row) if row else None
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def get_first_balance(db_path: str, account_id: int) -> dict | None:
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"""最早一条账户快照(收益率基线;首快照 total = baseline)。"""
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with sqlite3.connect(db_path) as conn:
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conn.row_factory = sqlite3.Row
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cur = conn.execute(
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"SELECT account_id, date, cash, market_value, total "
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"FROM live_balance WHERE account_id=? ORDER BY id ASC LIMIT 1",
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(account_id,),
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)
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row = cur.fetchone()
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return dict(row) if row else None
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__all__ = [
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"init_db", "save_account", "list_accounts", "get_account",
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"update_account_status", "list_running_accounts",
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"save_trade", "list_trades",
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"save_positions", "load_positions",
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"save_balance", "list_balance", "get_last_balance", "get_first_balance",
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]
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