claude_dev
c9a3b0eb4f
三日体检(2026-08-19)实锤三 bug,影子账户第1天后永久卡死:
①账本断连:supports_account_sync=False→引擎context.portfolio永远停在
初始100万/0持仓→8-19轮换零卖出+买单六连拒资金不足(账上真剩15.6万);
修=sync_account按_apply_account_snapshot契约推{cash,total,positions
[closeable_amount=T+1 held-今日买]}(引擎60s拉一次,策略从此看得见真实账本)
②净值断供(#88回归):get_account_info无as_of键→_should_write_balance恒
False→paper_daily_balance影子一行不写=前端模拟盘无收益率直接原因;
修=有持仓或有成交→as_of=今天,空账户→''不写垃圾行
③重启失忆:账本全内存,重启重置1M/0持仓与已落库成交断层;
修=restore_from_trades逐笔重放(cash=initial-Σ买-Σ费+Σ卖/持仓加权成本/
当日买入补T+1锁)+runner经_hist_trades_for_restore(list_trades)接线
+4回归(sync契约与T1两日/asof三态/重放手算基准996683/offset→side映射);
833绿 [vps]
271 lines
11 KiB
Python
271 lines
11 KiB
Python
"""影子柜台常驻进程入口（P1，VPS Windows / miniQMT 行情）。
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与组合实盘(``sanguo_portfolio.runner_live``)同一个 bullet_trade LiveEngine，
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唯一区别:broker_factory 换成 ShadowBroker(本地撮合,订单不出门)。
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策略/行情/调度完全同款 → 双轨一致性验证(设计 §8)的基础。
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环境变量(复用 live_strategy.py 的 SANGUO_LIVE_* 命名 + 影子专属 SANGUO_SHADOW_*):
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SANGUO_LIVE_STRATEGY/_MAX_POOL/_BENCHMARK/_CASH 策略配置(live_strategy.py 读)
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SANGUO_SHADOW_DB / SANGUO_SHADOW_ACCOUNT_ID 落库目标(paper 库)
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SANGUO_SHADOW_COMMISSION/_STAMP/_MIN_COMM/_SLIPPAGE 费率滑点(对齐实盘券商参数)
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手动用法(VPS 交易日):
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set SANGUO_LIVE_STRATEGY=all_weather
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set SANGUO_SHADOW_DB=C:\\sanguo_vnpy_v2\\data\\paper.db
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python -m sanguo_trader.shadow
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不做多账户轮询:MVP 一进程一账户(与 runner_live 一致),多账户由 supervisor
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按 paper_accounts(engine='shadow')逐行拉子进程(后续接入)。
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"""
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from __future__ import annotations
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# ENV GUARD 必须早于任何 bullet_trade import
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import os
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os.environ.setdefault("DEFAULT_DATA_PROVIDER", "miniqmt")
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import logging
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import threading
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import time
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from pathlib import Path
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from typing import Any, Dict, Optional
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logger = logging.getLogger(__name__)
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# 策略适配文件与组合实盘共用(读 SANGUO_LIVE_* env)
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ADAPTER_FILE = Path(__file__).resolve().parents[2] / "sanguo_portfolio" / "live_strategy.py"
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def shadow_env() -> Dict[str, str]:
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"""解析影子柜台 env(独立出来便于单测)。"""
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return {
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"db": os.environ.get("SANGUO_SHADOW_DB", ""),
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"account_id": os.environ.get("SANGUO_SHADOW_ACCOUNT_ID", ""),
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"commission": os.environ.get("SANGUO_SHADOW_COMMISSION", "0.0003"),
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"stamp": os.environ.get("SANGUO_SHADOW_STAMP", "0.001"),
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"min_comm": os.environ.get("SANGUO_SHADOW_MIN_COMM", "5"),
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"slippage": os.environ.get("SANGUO_SHADOW_SLIPPAGE", "0.001"),
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"snapshot_sec": os.environ.get("SANGUO_SHADOW_SNAPSHOT_SEC", "30"),
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}
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def build_price_getter(provider: Any) -> Any:
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"""从数据 provider 取标的最新价(实时/最新收盘)。返回闭包给 ShadowBroker。"""
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def get_price(security: str) -> Optional[float]:
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from datetime import datetime, timedelta
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end = datetime.now().strftime("%Y-%m-%d %H:%M:%S")
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start = (datetime.now() - timedelta(days=10)).strftime("%Y-%m-%d")
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try:
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df = provider.get_price(
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security=security, start_date=start, end_date=end,
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frequency="daily", fields=["close"], fq="pre",
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)
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if df is None or len(df) == 0:
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return None
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return float(df["close"].iloc[-1])
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except Exception: # noqa: BLE001 - provider 接口差异兜底
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cols = [c for c in ("close", "Close") if c in (df.columns if df is not None else [])]
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if cols:
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return float(df[cols[0]].iloc[-1])
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return None
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return get_price
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def build_limit_getter(provider: Any) -> Any:
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"""从数据 provider 取标的实时涨跌停/停牌状态(P1.3,ShadowBroker 拒单用)。
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优先 ``get_live_current``(miniQMT 实时 tick:lastPrice vs UpStop/DownStop,
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与实盘同源同刻);无实时能力(回测 provider)→ 回退 ``get_limit_status_batch``
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(日线 prev_close×幅度口径)。查不到 → None(ShadowBroker 放行,等价旧行为)。
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"""
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from datetime import datetime
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from typing import Optional as _Opt
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def get_limit(security: str) -> _Opt[dict]:
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live_fn = getattr(provider, "get_live_current", None)
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if live_fn is not None:
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try:
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cur = live_fn(security) or {}
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last = cur.get("last_price")
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high = cur.get("high_limit") or 0.0
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low = cur.get("low_limit") or 0.0
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if last:
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return {
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"is_limit_up": bool(high and float(last) >= float(high)),
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"is_limit_down": bool(low and float(last) <= float(low)),
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"is_paused": bool(cur.get("paused")),
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}
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except Exception: # noqa: BLE001 - 实时源失败试批量源
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pass
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batch_fn = getattr(provider, "get_limit_status_batch", None)
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if batch_fn is not None:
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try:
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return (batch_fn([security], datetime.now().strftime("%Y-%m-%d"))
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or {}).get(security)
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except Exception: # noqa: BLE001
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return None
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return None
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return get_limit
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def _paper_on_trade(db: str, account_id: int, strategy_id: str):
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"""成交回调:落 paper_trades(与组合实走 EOD 同表,前端模拟盘页直接可见)。"""
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from sanguo_trader.persistence import save_trade
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def hook(trade: Dict[str, Any]) -> None:
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side = trade["side"]
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save_trade(db, account_id, {
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"strategy_id": strategy_id,
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"datetime": trade["datetime"],
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"symbol": trade["security"],
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"direction": "long" if side == "buy" else "short",
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"offset": "open" if side == "buy" else "close",
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"match_session": "shadow_realtime",
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"price": trade["price"],
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"volume": trade["amount"],
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"commission": trade["commission"],
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"stamp_duty": trade["stamp_duty"],
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"bar_date": trade["datetime"][:10],
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})
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return hook
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def _should_write_balance(as_of: str, last_written: str) -> bool:
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"""#88:有行情日期且与上次已写日期不同才写(同日一行;空日期=无行情不写)。
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原实现每 30s 无条件写一行,VPS 实况 40 号账户半天刷 97 行 date='' 垃圾
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(周末无行情 as_of='',净值恒 100 万),把「日净值表」刷成流水账。
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"""
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return bool(as_of) and as_of != last_written
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def _snapshot_loop(broker: Any, db: str, account_id: int,
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interval_sec: float = 30.0) -> None:
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"""后台线程:定期把影子账户快照落 paper_positions/paper_daily_balance。"""
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from sanguo_trader.persistence import save_daily_balance, save_positions
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last_as_of = ""
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while True:
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time.sleep(interval_sec)
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try:
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info = broker.get_account_info()
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positions = {
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p["security"]: {"volume": float(p["amount"]), "frozen": 0.0,
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"avg_price": p["avg_cost"]}
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for p in info["positions"]
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}
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save_positions(db, account_id, "account", positions,
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date=broker.trades[-1]["datetime"][:10] if broker.trades else "")
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as_of = info.get("as_of", "")
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if _should_write_balance(as_of, last_as_of):
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save_daily_balance(
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db, account_id, as_of,
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cash=info["available_cash"], market_value=info["market_value"],
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total_equity=info["total_value"],
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)
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last_as_of = as_of
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except Exception as exc: # noqa: BLE001 - 落库失败不中断柜台
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logger.warning("[shadow-snapshot] 落库失败 (account=%s): %s", account_id, exc)
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def _hist_trades_for_restore(rows: list) -> list:
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"""paper_trades 行 → broker.restore_from_trades 入参(重放用交易字典)。
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独立成函数便于单测:offset=open→buy / close→sell 是恢复链路的唯一契约。
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"""
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return [
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{"security": r["symbol"],
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"side": "buy" if r["offset"] == "open" else "sell",
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"amount": int(r["volume"]), "price": float(r["price"]),
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"commission": float(r["commission"] or 0),
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"stamp_duty": float(r["stamp_duty"] or 0),
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"datetime": r["datetime"]}
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for r in rows
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]
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def _instance_adapter(account_id: str) -> Path:
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"""按账户复制一份策略适配文件(同 runner_live._instance_adapter)。
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bullet_trade 实例锁按 strategy_path+broker_type+account_identity 判重;
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多影子账户共用 ShadowBroker(同 identity)时须路径互异才不被判重复实例。
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"""
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if not account_id:
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return ADAPTER_FILE
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dst = (Path(__file__).resolve().parents[2] / "runtime"
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/ f"shadow_{account_id}" / ADAPTER_FILE.name)
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dst.parent.mkdir(parents=True, exist_ok=True)
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if not dst.exists() or dst.read_text(encoding="utf-8") != \
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ADAPTER_FILE.read_text(encoding="utf-8"):
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import shutil
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shutil.copyfile(ADAPTER_FILE, dst)
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return dst
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def run_shadow(provider_config: Optional[Dict[str, Any]] = None) -> None:
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"""装配 LiveEngine(影子 broker)并 run(阻塞)。"""
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from bullet_trade.core.live_engine import LiveEngine # type: ignore
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from bullet_trade.data.api import set_data_provider # type: ignore
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from sanguo_portfolio.runner_live import build_provider
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from .broker import ShadowBroker
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cfg = shadow_env()
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from sanguo_portfolio.runner_live import live_env
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le = live_env()
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provider = build_provider(provider_config)
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set_data_provider(provider)
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broker = ShadowBroker(
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initial_cash=float(le["cash"]),
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commission_rate=float(cfg["commission"]),
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stamp_duty_rate=float(cfg["stamp"]),
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min_commission=float(cfg["min_comm"]),
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slippage=float(cfg["slippage"]),
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price_getter=build_price_getter(provider),
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limit_getter=build_limit_getter(provider),
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on_trade=_paper_on_trade(cfg["db"], int(cfg["account_id"]), le["strategy"])
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if cfg["db"] and cfg["account_id"] else None,
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)
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# 重启恢复:账本全在内存,不重放 paper_trades 就会重置回初始资金/0 持仓,
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# 与已落库成交断层(2026-08-19 前 VPS 实况:重启即"失忆")
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if cfg["db"] and cfg["account_id"]:
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from sanguo_trader.persistence import list_trades
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hist = _hist_trades_for_restore(
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list_trades(cfg["db"], int(cfg["account_id"])))
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if hist:
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broker.restore_from_trades(hist)
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logger.info("[shadow] 重启恢复 %d 笔历史成交: cash=%.2f 持仓 %d 只",
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len(hist), broker.cash, len(broker.positions))
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logger.info(
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"影子柜台启动: strategy=%s cash=%s 费率=佣金%s/印花%s/最低%s 滑点%s db=%s",
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le["strategy"], le["cash"], cfg["commission"], cfg["stamp"],
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cfg["min_comm"], cfg["slippage"], cfg["db"] or "(不落库)",
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)
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engine = LiveEngine(
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_instance_adapter(cfg["account_id"]),
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broker_factory=lambda: broker,
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# 独立 runtime 目录:bullet_trade 单实例锁默认 ./runtime,
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# 影子与实盘并行(双轨§8)会互抢锁,按账户分目录隔离
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live_config={"runtime_dir": str(
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Path(__file__).resolve().parent.parent.parent / "runtime"
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/ f"shadow_{cfg['account_id'] or 'solo'}")},
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)
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if cfg["db"] and cfg["account_id"]:
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t = threading.Thread(
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target=_snapshot_loop,
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args=(broker, cfg["db"], int(cfg["account_id"]), float(cfg["snapshot_sec"])),
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daemon=True, name="shadow-snapshot",
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)
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t.start()
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engine.run()
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