160 lines
6.7 KiB
Python
160 lines
6.7 KiB
Python
"""组合策略 API 路由(异步化 P0)。
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POST /portfolio/backtest: 异步提交组合回测任务,返回 task_id 供前端轮询。
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GET /portfolio/task/{task_id}/result: 取组合回测结果。
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回测子进程执行(三机自适应 NAS/VPS/Mac-SSH)搬至 portfolio_worker.py,
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超时从 600s 提升至 3600s。复用 sanguo_orchestrator task 框架。
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"""
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from __future__ import annotations
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import logging
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from typing import Any
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from fastapi import APIRouter, Depends, Header, HTTPException
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from pydantic import BaseModel, Field
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from .auth import verify_token as verify_token_impl
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from .routes import get_orchestrator
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from .validation import validate_portfolio_request
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logger = logging.getLogger(__name__)
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router = APIRouter()
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async def verify_token(authorization: str | None = Header(None)):
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if authorization is None or not authorization.startswith("Bearer "):
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raise HTTPException(401, "Missing/invalid authorization")
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return verify_token_impl(authorization.split(" ", 1)[1])
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class PortfolioBacktestRequest(BaseModel):
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pool: str = Field(default="all", description="标的池(all=全市场)")
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start_date: str = Field(default="2024-01-01", description="YYYY-MM-DD")
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end_date: str = Field(default="2024-02-29", description="YYYY-MM-DD")
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initial_cash: float = Field(default=1_000_000.0, description="初始资金(元)")
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benchmark: str = Field(default="000300.XSHG", description="基准代码")
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strategy: str = Field(
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default="all_weather",
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description="策略: all_weather/momentum_timing/value_selection/small_cap",
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)
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max_pool: int = Field(default=30, description="选股池上限: 0=全市场不限, N=前N只(MVP验证用)")
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# A 股费用(对齐个股回测)
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commission_rate: float = Field(default=0.0003, description="佣金率双边(万3=0.0003)")
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stamp_duty_rate: float = Field(default=0.001, description="印花税率卖出(千1=0.001)")
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min_commission: float = Field(default=5.0, description="单笔最低佣金(元)")
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slippage: float = Field(default=0.0, description="滑点比率(万10=0.001,0=不加)")
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interval: str = Field(default="d", description="K线周期:组合回放暂仅日线(d)")
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instance_id: int | None = Field(default=None, description="§12.6 可选关联策略档案(带了则结果回写)")
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@router.post("/portfolio/backtest", dependencies=[Depends(verify_token)])
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async def run_portfolio_backtest(req: PortfolioBacktestRequest):
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"""异步提交组合回测任务,返回 task_id。前端轮询 GET /task/{id} 再取结果。"""
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if req.interval != "d":
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raise HTTPException(400, "组合回放暂仅支持日线(影子柜台将支持全周期分钟档)")
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validate_portfolio_request(req) # 400 中文提示(格式/未来/区间/资金/费率),拦在进队列前
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# §12.6 补：带档案发起 → 当时代码快照（完成回写 run_meta.code_hash）
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code_hash = None
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if req.instance_id:
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from .instance_store import get_instance_params_snapshot
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from .code_versions import snapshot_code
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cf = (get_instance_params_snapshot(req.instance_id) or {}).get("code_file") or ""
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snap = snapshot_code(cf)
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code_hash = snap["code_hash"] if snap else None
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tid = await get_orchestrator().submit_portfolio(
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start=req.start_date,
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end=req.end_date,
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cash=req.initial_cash,
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benchmark=req.benchmark,
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strategy=req.strategy,
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max_pool=req.max_pool,
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pool=req.pool,
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provider_config=None,
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commission_rate=req.commission_rate,
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stamp_duty_rate=req.stamp_duty_rate,
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min_commission=req.min_commission,
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slippage=req.slippage,
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interval=req.interval,
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instance_id=req.instance_id,
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code_hash=code_hash,
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)
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return {"task_id": tid}
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@router.get("/portfolio/task/{task_id}/result", dependencies=[Depends(verify_token)])
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def get_portfolio_result(task_id: str):
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"""取组合回测结果。从 BacktestResult.statistics 取 metrics/stocks_selected/period,
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从 equity_curve/trades(DataFrame)转 records。"""
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# 区分 failed(422+error)/running·pending(404 not ready)/done(result)/not found(404)。
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# 原实现对跑中/失败都 404,排查困难(分不清慢/死/失败)。
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orch = get_orchestrator()
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state = orch.get_status(task_id)
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if state is None:
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r = orch.get_result(task_id) # 不在内存池(历史 task 持久化 DB)→直接查 DB
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if r is None:
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raise HTTPException(status_code=404, detail="task not found")
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elif state.value == "failed":
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task = orch.pool.get_task(task_id)
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raise HTTPException(
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status_code=422,
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detail=f"task failed: {task.error_msg if task else 'unknown'}",
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)
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elif state.value != "done":
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raise HTTPException(
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status_code=404, detail=f"result not ready (state={state.value})"
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)
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else:
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r = orch.get_result(task_id)
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if r is None:
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raise HTTPException(status_code=404, detail="done but result missing")
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stats: dict = r.statistics or {}
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metrics = stats.get("metrics", {})
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stocks_selected = stats.get("stocks_selected", [])
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period = stats.get("period", {})
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return {
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"task_id": task_id,
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"strategy": r.strategy,
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"period": period,
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"metrics": metrics,
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"equity_curve": _df_to_records(r.equity_curve),
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"trades": _df_to_records(r.trades),
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"stocks_selected": stocks_selected,
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"benchmark_curve": stats.get("benchmark_curve", []),
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"drawdown_curve": stats.get("drawdown_curve", []),
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"holdings_curve": stats.get("holdings_curve", []),
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}
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@router.get("/portfolio/task/{task_id}/status", dependencies=[Depends(verify_token)])
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def get_portfolio_status(task_id: str):
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"""组合回测任务状态(区分 pending/running/done/failed + error 详情)。
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通用 GET /task/{id} 也返 status,本接口聚焦 portfolio 命名空间 + error 字段。"""
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orch = get_orchestrator()
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state = orch.get_status(task_id)
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if state is None:
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raise HTTPException(status_code=404, detail="task not found")
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task = orch.pool.get_task(task_id)
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return {
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"task_id": task_id,
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"state": state.value if hasattr(state, "value") else str(state),
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"stage": orch.pool.get_stage(task_id) or "",
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"error": task.error_msg if (task and isinstance(task.error_msg, str)) else None,
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}
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def _df_to_records(df: Any) -> list[dict]:
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"""DataFrame/list → list[dict] (empty-safe)."""
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if df is None:
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return []
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if hasattr(df, "empty") and df.empty:
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return []
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if hasattr(df, "to_dict"):
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return df.to_dict(orient="records")
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if isinstance(df, list):
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return df
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return []
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