claude_dev
dae56e29aa
2026-08-19盘后QMT实锤:①互卖当日真实发生(518880两个实例各卖183700、
600036两实例各卖42900)②买入sizing被全账户污染(channel_test实盘买
183700股@9.12≈168万=全账户995万/6,影子才16.8万=100万/6)③QMT委托带
remark=bt:live_strateg:<hash>实例指纹(归因可交叉验证)。
①live_instance_ledger(新模块):每live实例一份虚拟子账本(现金=初始−Σ买
−Σ费+Σ卖,持仓+移动加权成本+T+1当日买入锁定,线程安全锁),由**本实例
真实成交**驱动——engine.get_trades()按order_id∈engine.get_orders()归因
(引擎_broker_order_index已映射回本实例id空间),别家实例/手动单不进账;
卖超账面/无账面卖出如实留痕不崩;restore_from_trades重启恢复。
②runner_live:_sync_trades旧轮询(写不进live_trades的坏件)替换为归因
落库(方向取自订单is_buy);快照落库从context.portfolio全账户改**实例视图**
(positions=账本持仓T+1冻结;balance=虚拟现金+市值,现价取全账户快照/退
加权成本)——治8实例同写一份全账户持仓+收益率=全账户/初始资金无意义;
balance节流:有成交立即写否则≥5分钟(治1440行/天/实例量偏大遗留)。
③通道注入:BrokerFacade.get_instance_positions字段+live_strategy._setup
读get_active()注入positions_view(策略session消费,getattr兜底回退
context.portfolio;回测/单测无账本=保持None)。
④实盘引擎日志黑洞根治:supervisor子进程stdout/stderr落logs/live_{aid}.log
(>5MB截断+spawn标记,对齐影子#88同款修法;8-17起实盘委托/成交零留存)。
+15测试(算术/归因过滤/幂等/快照实例视图/通道注入/日志重定向);
portfolio+live+shadow 400绿。
237 lines
10 KiB
Python
237 lines
10 KiB
Python
"""实例虚拟账本(live_instance_ledger)+ runner_live 归因链路回归。
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背景(2026-08-19 三日体检):8 路组合实盘共享一个 miniQMT 账号,
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context.portfolio=全账户视图 → channel_test 轮换互卖别家持仓、对账 8 对
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全 FAIL、收益率=全账户/初始资金无意义。修复=每实例一份由**自身真实成交**
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驱动的虚拟子账本(engine.get_trades() 按 order_id ∈ engine.get_orders() 归因)。
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"""
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from __future__ import annotations
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import sqlite3
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from datetime import datetime
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from types import SimpleNamespace
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import pytest
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from sanguo_portfolio.live_instance_ledger import (
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LiveInstanceLedger, estimate_fee, set_active,
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)
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from sanguo_portfolio.runner_live import _snapshot_once, _sync_instance_trades
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# ------------------ 账本算术 ------------------
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class TestLedgerArithmetic:
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def test_buy_sell_with_estimated_fees(self):
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"""手算:100万 + 买100@10(费5) + 买200@13(费5) + 卖300@12(费5+税3.6)。"""
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led = LiveInstanceLedger(initial_cash=1_000_000)
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assert led.apply_trade(True, "000001.XSHE", 10.0, 100, "t1", "2026-08-19")
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assert led.apply_trade(True, "000001.XSHE", 13.0, 200, "t2", "2026-08-19")
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# 998,995 → 996,390;持仓 300 股,加权成本 (1000+2600)/300 = 12
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assert led.cash == pytest.approx(996_390.0)
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assert led.positions["000001.XSHE"]["volume"] == 300
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assert led.positions["000001.XSHE"]["avg_cost"] == pytest.approx(12.0)
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assert led.apply_trade(False, "000001.XSHE", 12.0, 300, "t3", "2026-08-19")
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# 卖出费 = max(3600×0.0003,5)=5 + 印花税 3600×0.001=3.6
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assert led.cash == pytest.approx(996_390.0 + 3600 - 8.6)
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assert "000001.XSHE" not in led.positions
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def test_actual_fee_overrides_estimate(self):
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led = LiveInstanceLedger(initial_cash=100_000)
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led.apply_trade(True, "600000.XSHG", 10.0, 100, "t1", "2026-08-19", fee=25.0)
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assert led.cash == pytest.approx(100_000 - 1000 - 25)
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def test_dup_trade_id_ignored(self):
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led = LiveInstanceLedger()
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assert led.apply_trade(True, "600000.XSHG", 10.0, 100, "t1", "2026-08-19")
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assert not led.apply_trade(True, "600000.XSHG", 10.0, 100, "t1", "2026-08-19")
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assert led.positions["600000.XSHG"]["volume"] == 100
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def test_restore_from_trades_rebuilds(self):
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"""重启恢复:DB 行重放出现金/持仓/幂等(与 live_trades 行格式一致)。"""
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led = LiveInstanceLedger(initial_cash=1_000_000)
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rows = [
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{"direction": "buy", "symbol": "000001.XSHE", "price": 10.0,
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"volume": 100, "traded_at": "2026-08-18 09:35:00", "vt_tradeid": "a1"},
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{"direction": "buy", "symbol": "600000.XSHG", "price": 20.0,
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"volume": 200, "traded_at": "2026-08-18 09:35:01", "vt_tradeid": "a2"},
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{"direction": "sell", "symbol": "600000.XSHG", "price": 21.0,
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"volume": 200, "traded_at": "2026-08-19 13:45:00", "vt_tradeid": "a3"},
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]
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assert led.restore_from_trades(rows) == 3
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# 100万 −(1000+5) −(4000+5) +(4200−max(1.26,5)=5−4200×0.001=4.2→9.2)
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assert led.cash == pytest.approx(1_000_000 - 1005 - 4005 + 4190.8)
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assert led.positions["000001.XSHE"]["volume"] == 100
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assert "600000.XSHG" not in led.positions
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# 重放幂等:同批行再来一遍零增量
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assert led.restore_from_trades(rows) == 0
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def test_t1_closeable_today_then_next_day(self):
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led = LiveInstanceLedger()
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led.apply_trade(True, "000001.XSHE", 10.0, 100, "t1", "2026-08-19")
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view_today = led.positions_view(now_date="2026-08-19")
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assert view_today["000001.XSHE"]["closeable_amount"] == 0 # T+1 锁定
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view_next = led.positions_view(now_date="2026-08-20")
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assert view_next["000001.XSHE"]["closeable_amount"] == 100
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def test_equity_price_fallback_to_avg_cost(self):
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led = LiveInstanceLedger(initial_cash=100_000)
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led.apply_trade(True, "000001.XSHE", 10.0, 100, "t1", "2026-08-19")
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cash, mv, total = led.equity({}) # 无现价 → 退加权成本 10
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assert mv == pytest.approx(1000)
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assert total == pytest.approx(cash + 1000)
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_, mv2, _ = led.equity({"000001.XSHE": 12.5})
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assert mv2 == pytest.approx(1250)
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def test_estimate_fee_matches_order_cost(self):
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assert estimate_fee(True, 10.0, 100) == pytest.approx(5.0) # 佣金触底
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assert estimate_fee(False, 10.0, 100_000) == pytest.approx(
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max(1_000_000 * 0.0003, 5) + 1_000_000 * 0.001)
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def test_sell_without_book_position_keeps_cash_no_crash(self):
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"""bootstrap 缺口前的旧仓卖出:账上无此标的——现金照收,持仓无账可扣不崩。"""
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led = LiveInstanceLedger(initial_cash=100_000)
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assert led.apply_trade(
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False, "600519.XSHG", 1000.0, 100, "t1", "2026-08-19")
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assert led.cash == pytest.approx(100_000 + 100_000 - 130.0) # 佣金30+税100
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assert led.positions == {}
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def test_dirty_flag_drives_snapshot_throttle(self):
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"""新成交→dirty=True(下个快照周期必写);初始/重放后同样置位。"""
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led = LiveInstanceLedger()
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led.dirty = False
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led.apply_trade(True, "000001.XSHE", 10.0, 100, "t1", "2026-08-19")
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assert led.dirty is True
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led2 = LiveInstanceLedger()
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led2.dirty = False
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led2.restore_from_trades([{
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"direction": "buy", "symbol": "000001.XSHE", "price": 10.0,
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"volume": 100, "traded_at": "2026-08-19 09:35:00",
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"vt_tradeid": "r1"}])
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assert led2.dirty is True
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# ------------------ 归因与落库链路 ------------------
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def _fake_engine():
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"""两个成交:o1(本实例买单)/ FOREIGN(别家实例单)。"""
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own = SimpleNamespace(order_id="o1", is_buy=True)
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t_own = SimpleNamespace(
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order_id="o1", security="000001.XSHE", amount=100, price=10.0,
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time=datetime(2026, 8, 19, 9, 35, 0), commission=0.0, tax=0.0)
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t_foreign = SimpleNamespace(
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order_id="8800099", security="600519.XSHG", amount=500, price=1500.0,
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time=datetime(2026, 8, 19, 9, 36, 0), commission=0.0, tax=0.0)
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return SimpleNamespace(
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get_orders=lambda: {"o1": own},
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get_trades=lambda: {"t1": t_own, "t99": t_foreign},
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context=SimpleNamespace(portfolio=SimpleNamespace(
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positions={"000001.XSHE": SimpleNamespace(price=11.0)})),
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)
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class TestAttributionAndSnapshot:
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def test_sync_attributes_only_own_orders(self, tmp_path):
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from sanguo_live.persistence import init_db, list_trades
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db = str(tmp_path / "live.db")
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init_db(db)
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led = LiveInstanceLedger(initial_cash=1_000_000)
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engine = _fake_engine()
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_sync_instance_trades(engine, led, db, 44, "channel_test")
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# 账本只有本实例成交;别家 500 股×1500 不进账
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assert led.positions["000001.XSHE"]["volume"] == 100
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assert led.cash == pytest.approx(1_000_000 - 1005)
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rows = list_trades(db, 44)
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assert len(rows) == 1
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assert rows[0]["vt_tradeid"] == "t1"
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assert rows[0]["direction"] == "buy"
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assert rows[0]["offset"] == "open"
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assert rows[0]["strategy_name"] == "channel_test"
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def test_sync_idempotent_no_duplicate_rows(self, tmp_path):
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from sanguo_live.persistence import init_db, list_trades
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db = str(tmp_path / "live.db")
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init_db(db)
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led = LiveInstanceLedger()
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engine = _fake_engine()
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_sync_instance_trades(engine, led, db, 44, "channel_test")
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_sync_instance_trades(engine, led, db, 44, "channel_test")
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assert len(list_trades(db, 44)) == 1
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def test_snapshot_writes_instance_view_not_full_account(self, tmp_path):
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"""快照落库=实例视图(旧版落全账户持仓是互卖/对账错的根源)。"""
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from sanguo_live.persistence import init_db, list_balance, load_positions
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db = str(tmp_path / "live.db")
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init_db(db)
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led = LiveInstanceLedger(initial_cash=1_000_000)
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led.apply_trade(True, "000001.XSHE", 10.0, 100, "t1", "2026-08-19")
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engine = _fake_engine()
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_snapshot_once(engine, db, 44, led)
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pos = load_positions(db, 44)
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assert len(pos) == 1
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assert pos[0]["symbol"] == "000001.XSHE"
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assert pos[0]["volume"] == 100
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assert pos[0]["frozen"] == 100 # T+1 当日买入
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assert pos[0]["avg_price"] == pytest.approx(10.0)
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bal = list_balance(db, 44)[-1]
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# 虚拟账本:cash=998,995;市值按现价 11 → 1100
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assert bal["cash"] == pytest.approx(998_995.0)
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assert bal["market_value"] == pytest.approx(1100.0)
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assert bal["total"] == pytest.approx(1_000_095.0)
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# ------------------ 适配层通道注入 ------------------
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@pytest.fixture(autouse=True)
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def _clear_active():
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set_active(None)
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yield
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set_active(None)
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def _patch_wiring(monkeypatch):
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"""打桩 bullet_trade 装配依赖(对齐 tests/api/test_portfolio_live 模式)。"""
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import bullet_trade.core as bt_core
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import bullet_trade.data.api as bt_data_api
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monkeypatch.setattr(bt_core, "run_daily", lambda f, t, **kw: None)
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monkeypatch.setattr(bt_core, "run_monthly", lambda f, d, t, **kw: None)
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monkeypatch.setattr(bt_data_api, "get_data_provider", lambda: SimpleNamespace())
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class TestFacadeChannel:
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def test_setup_injects_when_ledger_active(self, monkeypatch):
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from sanguo_portfolio import live_strategy
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_patch_wiring(monkeypatch)
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live_strategy._STATE.update(strategy=None, wired=False)
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monkeypatch.setenv("SANGUO_LIVE_STRATEGY", "channel_test")
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led = LiveInstanceLedger(initial_cash=500_000)
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set_active(led)
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live_strategy._setup(SimpleNamespace())
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strategy = live_strategy._STATE["strategy"]
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assert callable(strategy.broker.get_instance_positions)
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view = strategy.broker.get_instance_positions()
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assert view == {}
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live_strategy._STATE.update(strategy=None, wired=False)
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def test_setup_leaves_none_without_ledger(self, monkeypatch):
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"""回测/无账本:通道保持 None,策略侧回退 context.portfolio。"""
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from sanguo_portfolio import live_strategy
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_patch_wiring(monkeypatch)
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live_strategy._STATE.update(strategy=None, wired=False)
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monkeypatch.setenv("SANGUO_LIVE_STRATEGY", "channel_test")
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live_strategy._setup(SimpleNamespace())
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strategy = live_strategy._STATE["strategy"]
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assert strategy.broker.get_instance_positions is None
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live_strategy._STATE.update(strategy=None, wired=False)
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