110 lines
4.3 KiB
Python
110 lines
4.3 KiB
Python
"""回测参数校验（2026-08-15：此前结束时间选 2029 也能提交，零校验跑垃圾结果）。
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L1 静态规则零 IO 秒判（格式/先后/未来/区间长度/资金/费率）；
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L2 数据可用性查 dbbardata 锚定标的（600000 日线）最新日期，
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模块级缓存 24h——只在提交时服务端调用一次，页面加载零开销；
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查库失败返回 None 自动退化为仅 L1，数据层抖动不挡正常提交。
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"""
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from __future__ import annotations
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import sqlite3
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import time
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from datetime import date, datetime
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from fastapi import HTTPException
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# 锚定标的:600000 浦发银行,上市以来从未长期停牌,是「数据灌到哪天」的可靠探针
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_ANCHOR_SYMBOL = "600000"
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_ANCHOR_EXCHANGE = "SSE"
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_CACHE_TTL_SEC = 24 * 3600
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_MIN_SPAN_DAYS = 30
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_RATE_MAX = 0.01 # 费率上限 1%:填 3 这种是百分数/万分位口径错
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_latest_cache: tuple[float, str] | None = None # (查询时刻, 最新日期)
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def _parse(name: str, value: str) -> date:
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try:
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return datetime.strptime(value, "%Y-%m-%d").date()
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except (ValueError, TypeError):
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raise HTTPException(400, f"{name}格式应为 YYYY-MM-DD: {value!r}")
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def validate_backtest_range(start: str, end: str, min_days: int = _MIN_SPAN_DAYS) -> None:
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"""L1+L2 区间校验,非法即抛 400(中文业务提示)。合法返回 None。"""
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s = _parse("开始日期", start)
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e = _parse("结束日期", end)
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if s >= e:
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raise HTTPException(400, f"开始日期({start})必须早于结束日期({end})")
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if (e - s).days < min_days:
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raise HTTPException(400, f"区间过短(不足 {min_days} 天),统计无参考意义,请至少选 {min_days} 天")
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today = date.today().isoformat()
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if end > today:
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raise HTTPException(400, f"结束日期 {end} 在未来,请选择历史日期(今天: {today})")
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latest = get_latest_daily_date()
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if latest and end > latest:
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raise HTTPException(400, f"结束日期 {end} 超出数据范围:日线数据最新到 {latest}")
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def validate_capital(name: str, value: float) -> None:
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if value <= 0:
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raise HTTPException(400, f"{name}需大于 0,当前: {value}")
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def validate_rate(name: str, value: float) -> None:
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if not (0 <= value <= _RATE_MAX):
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raise HTTPException(400, f"{name}应在 0~{_RATE_MAX:g} 之间(小数,万3=0.0003),当前: {value}")
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def validate_cta_request(req) -> None:
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"""CTA 回测(个股/优化共用):区间 + 资金 + 费率。"""
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validate_backtest_range(req.start, req.end)
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validate_capital("初始资金", req.capital)
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validate_rate("佣金率", req.commission_rate)
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validate_rate("印花税率", req.stamp_duty_rate)
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validate_rate("过户费率", req.transfer_fee_rate)
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validate_rate("滑点", req.slippage)
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def validate_portfolio_request(req) -> None:
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"""组合回测:区间 + 资金 + 费率(字段名与 CTA 不同:initial_cash/start_date)。"""
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validate_backtest_range(req.start_date, req.end_date)
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validate_capital("初始资金", req.initial_cash)
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validate_rate("佣金率", req.commission_rate)
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validate_rate("印花税率", req.stamp_duty_rate)
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validate_rate("滑点", req.slippage)
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def _query_latest_daily_date() -> str | None:
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"""直查 dbbardata 锚定标的日线最大日期;任何异常返回 None(退化为仅 L1)。"""
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try:
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from sanguo_data.config import load_config, find_config_path
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db_path = load_config(find_config_path()).data_paths.get("vnpy_db")
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if not db_path:
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return None
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conn = sqlite3.connect(db_path, timeout=5)
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try:
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row = conn.execute(
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"SELECT MAX(substr(datetime,1,10)) FROM dbbardata "
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"WHERE symbol=? AND exchange=? AND interval='d'",
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(_ANCHOR_SYMBOL, _ANCHOR_EXCHANGE),
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).fetchone()
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finally:
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conn.close()
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return row[0] if row and row[0] else None
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except Exception:
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return None
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def get_latest_daily_date() -> str | None:
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"""数据最新交易日(带 24h 缓存)。日线 18 点后更新,无需每次提交都查。"""
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global _latest_cache
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now = time.time()
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if _latest_cache and now - _latest_cache[0] < _CACHE_TTL_SEC:
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return _latest_cache[1]
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latest = _query_latest_daily_date()
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if latest:
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_latest_cache = (now, latest)
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return latest
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