claude_dev
05d74fc2c1
M1: PaperOrder+limit+matcher 加 listing_days(创业/科创/北交所前5日不锁,0=已过) M3: is_locked_for_*_symbol cfg 注解 AccountConfig M4: matcher NaN bar 拒单 bar_missing L3: PositionLedger price/volume 正数校验 L5: PaperOrder __post_init__ volume 类型校验(拒 float/bool) M5: current_close 契约 docstring + H3 残留注释修正(transfer_fee 双向) 79 tests passed.
90 lines
2.6 KiB
Python
90 lines
2.6 KiB
Python
"""模拟盘数据模型（immutable DTOs）。
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数据类承载配置与订单/成交/拒单状态，跨模块传递时保持不可变。
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费率默认值见 §6.4（Issue #3 费率参数化）。
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"""
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from dataclasses import dataclass
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from enum import Enum
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class MatchSession(str, Enum):
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"""撮合时点（spec §6.1）。
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- NEXT_OPEN：下一根 bar 的 open（收盘型策略，安全）
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- CURRENT_CLOSE：当根 bar 的 close（尾盘抓涨停型，策略不得用当根 OHLC）
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- CALL_AUCTION：集合竞价（首版预留）
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"""
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NEXT_OPEN = "next_open"
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CURRENT_CLOSE = "current_close"
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CALL_AUCTION = "call_auction"
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class OrderSide(str, Enum):
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BUY = "buy"
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SELL = "sell"
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@dataclass(frozen=True)
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class AccountConfig:
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"""账户费率/撮合参数（Issue #3 全字段可配）。"""
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initial_capital: float
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rate: float = 0.0003 # 佣金率
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min_commission: float = 5.0 # 最低佣金 5 元
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stamp_duty_rate: float = 0.0005 # 印花税（仅卖，2023.8.28 起 0.05%）
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transfer_fee_rate: float = 0.00001 # 过户费率（沪深双向，matcher 出 ×2 总额，review H3）
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slippage: float = 0.0
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pricetick: float = 0.01
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size: float = 1.0
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@dataclass(frozen=True)
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class PaperOrder:
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"""策略下单请求。match_session 决定撮合时点。
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listing_days：上市天数（新股涨跌停特判，0=已过新股期；spec §6.2）。
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current_close 契约：策略 on_bar 内不得访问当根 close/high/low，否则前瞻偏差。
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"""
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strategy_id: str
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symbol: str
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side: OrderSide
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price: float
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volume: int
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is_market: bool = True
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match_session: MatchSession = MatchSession.NEXT_OPEN
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listing_days: int = 0
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def __post_init__(self) -> None:
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if not isinstance(self.volume, int) or isinstance(self.volume, bool):
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raise TypeError(f"volume 必须是 int，收到 {type(self.volume).__name__}")
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@dataclass(frozen=True)
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class PaperTrade:
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"""已成交记录（含费用拆分）。transfer_fee 为沪深双向总额（review H3，Account 不再 ×2）。"""
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strategy_id: str
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symbol: str
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side: OrderSide
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price: float
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volume: int
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commission: float
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stamp_duty: float
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transfer_fee: float
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bar_date: str
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match_session: MatchSession
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@dataclass(frozen=True)
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class PaperReject:
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"""拒单记录。reason 枚举：limit_up_locked / limit_down_locked /
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limit_not_touched / volume_below_min_lot / unsupported_match_session /
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insufficient_cash / blocked_by_strategy=<id>。"""
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strategy_id: str
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symbol: str
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reason: str
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bar_date: str
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