claude_dev
c6b19f4244
用户要模拟=回测准确: raw除权缺口致MA假信号, 必须双源。
- data_source: qfq→qfq_dir(干净qfq), raw→raw_dir; _check_adjust_cfg(cfg提供才校验)
- engine 双bar流: step(raw_bars,qfq_bars)撮合/盯市raw+策略on_bar qfq; run zip(raw,qfq)
- live_orchestrator: warmup用qfq(信号am); 去adjust参数(双源固定)
- raw_redownload --adjust(''raw/'qfq'); config qfq_dir
- 113/113通过
85 lines
3.1 KiB
Python
85 lines
3.1 KiB
Python
"""模拟盘行情统一接口（raw 真实价 / qfq 前复权 双源，spec §3.3 / §5）。
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双源（分红除权准确方案）：
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- raw：撮合/涨跌停/成交价用真实价（adjustflag=3 / akshare adjust=""），cfg.data_paths['raw_dir']
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- qfq：策略信号用前复权（无除权缺口，MA 信号准），cfg.data_paths['qfq_dir']
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- daily_dir 是历史 mixed（hfq+raw），仅 backtest 兼容，模拟盘不用
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_read_fn 内 lazy import datareader，避免模块级依赖 vnpy 链（tzlocal 等），
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本机无 vnpy 完整依赖时仍可 import + 单测（mock _read_fn）。
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"""
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import logging
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from collections.abc import Iterator
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logger = logging.getLogger(__name__)
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def _read_fn(interval: str):
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"""按 interval 返回读取函数（lazy import）。"""
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if interval == "d":
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from sanguo_data.datareader import read_parquet_daily
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return read_parquet_daily
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if interval == "15m":
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from sanguo_data.datareader import read_parquet_15min
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return read_parquet_15min
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raise ValueError(f"不支持的 interval: {interval}（首版仅 d / 15m）")
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def _resolve_dir_key(adjust: str, interval: str) -> str:
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"""adjust → cfg.data_paths 的目录 key。
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raw 仅日线（raw 15min 待分期项）；qfq/默认按 interval 选。
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"""
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if adjust == "raw":
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if interval != "d":
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raise ValueError(
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f"raw 模式暂仅支持日线（interval='d'），got '{interval}'"
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"（raw 15min 待分期项）"
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)
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return "raw_dir"
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if adjust == "qfq":
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return "qfq_dir" # 干净 qfq（daily_dir 是 mixed，仅 backtest 兼容）
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return "daily_dir" if interval == "d" else "minute_15_dir"
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def _check_adjust_cfg(adjust: str, cfg) -> None:
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"""raw/qfq 需对应 dir 配置，缺失明确报错（不静默 fallback，避免混源）。"""
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need = {"raw": "raw_dir", "qfq": "qfq_dir"}.get(adjust)
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if need and cfg and need not in getattr(cfg, "data_paths", {}):
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raise ValueError(
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f"{adjust} 模式需 cfg.data_paths['{need}']（未配置；"
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f"先用 raw_redownload.py --adjust {adjust} 生成 parquet）"
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)
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def iter_bars(
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symbols: list[str],
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start: str,
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end: str,
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interval: str,
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adjust: str = "qfq",
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cfg=None,
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) -> Iterator[tuple]:
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"""按日期 cross-section yield (date, {symbol: BarData})。"""
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dir_key = _resolve_dir_key(adjust, interval)
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_check_adjust_cfg(adjust, cfg)
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read_fn = _read_fn(interval)
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by_date: dict = {}
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for sym in symbols:
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for bar in read_fn(sym, start, end, cfg, dir_key):
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dt = bar.datetime
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key = dt.date() if hasattr(dt, "date") else dt
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by_date.setdefault(key, {})[sym] = bar
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for date in sorted(by_date.keys()):
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yield date, by_date[date]
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def fetch_day(symbol: str, date: str, interval: str,
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adjust: str = "qfq", cfg=None):
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"""实走模式拉当日 bar（C-S3 用）。"""
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dir_key = _resolve_dir_key(adjust, interval)
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_check_adjust_cfg(adjust, cfg)
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read_fn = _read_fn(interval)
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bars = read_fn(symbol, date, date, cfg, dir_key)
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return bars[-1] if bars else None
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