claude_dev
cd1793c7c3
引擎「执行委托」行（live_engine.py 级，全策略覆盖）自带两个被掩埋的锚： [策略:ts]=策略时钟=真决策 bar 时刻、行情价=派发时刻现价（plan.last_price）。 - order_log_parser：新增 _DISPATCH 行族（不产生 event，七态纯度零 schema 变更）， pending 队列 (symbol,action,qty) 严格键相等+FIFO 挂到相邻 submit/norej-reject 事件（decision_ts/dispatch_price 两键不在 _EVENT_COLS，append_events 自动忽略）； 墙钟≤提交 ts 才配对；日志尾未匹配静默丢弃。 - ishortfall_daily：决策价主源=[策略:] 分钟键直查 price_fn（治派发滞后被 「提交前上一根 bar」代理掩埋，实测 delay=+157s 例两根 bar 差）；到达价主源不变， 缺当分钟 bar（竞价段 09:29/12:59，M5）回退行情价。行情价禁作决策价兜底 （派发价当决策价会低估延迟成本——宁缺毋假，缺则照旧计 legs_no_anchor）。 无 jq 行的腿（回测/无策略时钟）行为不变。_BASIS_NOTE 两行同步。 - spec §4.7 三价链第 2 条追加 2026-09-26 决策价直取注记（档随码走）。 测试：新增 8（parser 4+腿解析 4，RED→GREEN；含 FIFO 配对/qty 错配不互偷/ 无 dispatch 旧行为回归护栏/run_day 端到端 207 vs 旧锚 23 实证）。 全量 tests/portfolio 730 passed / 2 skipped（基线 722+8）。 Co-Authored-By: Claude Sonnet 5 <noreply@anthropic.com>
231 lines
10 KiB
Python
231 lines
10 KiB
Python
# -*- coding: utf-8 -*-
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"""引擎日志→委托事件 dict（spec §4.7 偏差日报第4条；周检已验证行族的产品化）。
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四行族（bullet_trade 源码核对，生产非 DEBUG 路径）：
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- 委托行 live_engine.py:757（无价——委托价在快照行）
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- 终态行/超时行 broker/qmt.py:1071/1077（快照 dict repr，ast.literal_eval 解析；
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键=order_price/amount/filled/security/order_remark/strategy_name）
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- 回执行 sanguo_portfolio/live_trade_receipt.py:71（契约字段名顺序不得改）
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纪律：symbol 一律照日志原样入库（规范化归价格源适配器）；t_raw 优先（柜台回报
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自带时间），NONE/退化回退行首时间戳（回执铁律同源）；订单ID=未知=柜台即拒
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（资金不足/非交易日类），合成单号 norej_{account}_{N}（折账号防跨文件撞号——
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两引擎日志同日各出 norej1 会幂等互吞）保跨日唯一键；event_seq=每
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order_key 在本批行序内递增（同一订单的四行族在同一引擎日志内，跨文件不相交）。
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"""
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from __future__ import annotations
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import ast
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import hashlib
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import re
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from datetime import datetime
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from typing import Any, Iterable
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_LINE_TS = re.compile(r"^(\d{4}-\d{2}-\d{2} \d{2}:\d{2}:\d{2})")
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_SUBMIT = re.compile(r"委托\[(买入|卖出)\] (\S+) 已提交，订单ID=([^，]+)，数量=(\d+)")
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# 引擎「执行委托」行（live_engine.py 打印，globals._format_message 加 [策略:] 前缀）：
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# [策略:ts]=策略时钟=真决策 bar 时刻；行情价=派发时刻现价（只做到达锚 fallback，
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# 禁作决策价兜底——宁缺毋假）。回测/无策略时钟时无前缀→不匹配→行为不变。
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_DISPATCH = re.compile(
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r"\[策略:(\d{4}-\d{2}-\d{2} \d{2}:\d{2}:\d{2})\] "
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r"\[当前:\d{4}-\d{2}-\d{2} \d{2}:\d{2}:\d{2}\] \[delay=[+-][\d.]+s\] "
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r"执行委托\[(买入|卖出)\] (\S+): 行情价=([\d.]+), 委托价=")
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_DISPATCH_QTY = re.compile(r"数量=(\d+)\s*$")
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_STATUS = re.compile(r"订单 (\S+) 等待 [\d.]+s 获得状态 (\w+)，快照=(\{.*\})\s*$")
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_TIMEOUT = re.compile(r"订单 (\S+) 等待 [\d.]+s 仍未完成，最后快照=(\{.*\}|无)")
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_RECEIPT = re.compile(
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r"\[trade-receipt\] tid=(\S+) order=(\S+) acc=(\S+) sym=(\S+) "
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r"vol=(\S+) px=(\S+) t_raw=(\S+) recv=(\S+)")
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# 快照 status → 七态（qmt.py 终态集：filled/cancelled/canceled/partly_canceled/
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# rejected/failed/error；其余在途=partial(有成交)/ack）
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TERMINAL_MAP = {"filled": "fill", "rejected": "reject", "failed": "reject",
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"error": "reject", "cancelled": "cancel", "canceled": "cancel",
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"partly_canceled": "cancel"}
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def _t_raw_ts(t_raw: str, line_ts: str) -> str:
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"""柜台 t_raw(epoch)→时刻；fromtimestamp 走机器本地时区——本舰队全 UTC+8
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成立，跨时区复用需显式 tz（infra 注记①）。sanity floor=2000-01-01：
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生产实见 t_raw=0 退化单（日志 3565 条）→1970 幽灵日，回退行首时间戳。"""
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if t_raw not in ("NONE", ""):
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try:
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v = float(t_raw)
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if v > 946684800: # sanity floor（2000 后才可信；退化 0/负/垃圾回退）
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if v > 1e12: # 毫秒形态（floor 内评估，~1.7e12 双过）
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v /= 1000.0
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return datetime.fromtimestamp(v).strftime("%Y-%m-%d %H:%M:%S")
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except (ValueError, OSError, OverflowError):
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pass
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return line_ts
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def _num(v: Any) -> float | None:
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try:
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return float(v)
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except (TypeError, ValueError):
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return None
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def _base(order_id: str, ts: str, seq: int, et: str, account: str,
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raw: str) -> dict:
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day = ts[:10]
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return {"order_key": f"{day}|{order_id}", "order_id": order_id, "day": day,
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"event_seq": seq, "ts": ts, "event_type": et, "account": account,
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"symbol": None, "action": None, "price": None, "qty": None,
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"cum_qty": None, "leaves_qty": None, "avg_px": None, "reason": None,
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"decision_price": None, "remark": None,
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"raw_hash": hashlib.sha1(
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raw.encode("utf-8", "replace")).hexdigest()[:16]}
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def _apply_snapshot(ev: dict, snap: dict) -> None:
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ev["symbol"] = snap.get("security") or ev.get("symbol")
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ev["remark"] = snap.get("order_remark") or ev.get("remark")
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ev["price"] = _num(snap.get("order_price"))
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amt, filled = _num(snap.get("amount")), _num(snap.get("filled"))
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if amt is not None:
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ev["qty"] = None if ev["event_type"] == "fill" else amt # 终态行不带量
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if filled is not None:
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ev["cum_qty"] = filled
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ev["leaves_qty"] = max(amt - filled, 0.0)
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def parse_log_lines(lines: Iterable[str], account: str = "") -> list[dict]:
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events: list[dict] = []
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seqs: dict[str, int] = {}
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norej = 0
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# jq 执行委托行 pending 队列：key=(symbol, action, qty) → FIFO[(墙钟ts, 策略ts,
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# 行情价)]。严格键相等+FIFO 防同票同量跨单互偷；日志尾未匹配静默丢弃；
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# 不产生 event（order_events 保持 FIX 七态纯度，decision_ts/dispatch_price
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# 两键不在 _EVENT_COLS，append_events 自动忽略）。
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pending: dict[tuple[str, str, float], list[tuple[str, str, float]]] = {}
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def _seq(key: str) -> int:
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s = seqs.get(key, 0)
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seqs[key] = s + 1
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return s
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def _attach_dispatch(ev: dict, symbol: str, action: str, qty: float,
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ts: str) -> None:
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lst = pending.get((symbol, action, qty))
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if not lst:
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return
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head = lst[0] # 行序保证队首 ts 最早；墙钟≤提交 ts 才配对
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if head[0] <= ts:
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lst.pop(0)
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if not lst:
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del pending[(symbol, action, qty)]
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ev["decision_ts"] = head[1]
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ev["dispatch_price"] = head[2]
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for raw in lines:
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line = raw.rstrip("\n")
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m = _LINE_TS.match(line)
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ts = m.group(1) if m else ""
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if not ts:
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continue
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day = ts[:10]
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dm = _DISPATCH.search(line)
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if dm:
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qm = _DISPATCH_QTY.search(line)
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if qm:
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key = (dm.group(3),
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"buy" if dm.group(2) == "买入" else "sell",
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float(qm.group(1)))
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pending.setdefault(key, []).append(
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(ts, dm.group(1), float(dm.group(4))))
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continue
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m = _SUBMIT.search(line)
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if m:
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action = "buy" if m.group(1) == "买入" else "sell"
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oid = m.group(3)
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if oid == "未知": # 柜台即拒（order_id<=0）
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norej += 1
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oid = f"norej_{account}_{norej}" if account else f"norej_{norej}"
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ev = _base(oid, ts, _seq(f"{day}|{oid}"), "reject", account, line)
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ev["action"] = action
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ev["symbol"] = m.group(2)
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ev["qty"] = float(m.group(4)) # infra 核修：数量必须带，否则腿过滤漏算机会成本
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_attach_dispatch(ev, m.group(2), action, ev["qty"], ts)
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events.append(ev)
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else:
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ev = _base(oid, ts, _seq(f"{day}|{oid}"), "submitted", account, line)
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ev["action"] = action
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ev["symbol"] = m.group(2)
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ev["qty"] = float(m.group(4))
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_attach_dispatch(ev, m.group(2), action, ev["qty"], ts)
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events.append(ev)
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continue
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m = _STATUS.search(line)
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snap = None
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if m:
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oid, status = m.group(1), m.group(2)
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try:
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snap = ast.literal_eval(m.group(3))
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except (ValueError, SyntaxError):
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snap = None
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filled = _num((snap or {}).get("filled")) or 0.0
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et = TERMINAL_MAP.get(status,
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"partial" if filled > 0 else "ack")
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ev = _base(oid, ts, _seq(f"{day}|{oid}"), et, account, line)
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if snap:
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_apply_snapshot(ev, snap)
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events.append(ev)
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continue
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m = _TIMEOUT.search(line)
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if m:
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oid = m.group(1)
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if m.group(2) == "无":
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continue
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try:
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snap = ast.literal_eval(m.group(2))
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except (ValueError, SyntaxError):
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snap = None
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filled = _num((snap or {}).get("filled")) or 0.0
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et = "partial" if filled > 0 else "ack"
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ev = _base(oid, ts, _seq(f"{day}|{oid}"), et, account, line)
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if snap:
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_apply_snapshot(ev, snap)
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events.append(ev)
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continue
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m = _RECEIPT.search(line)
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if m:
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tid, oid, acc, sym = m.group(1), m.group(2), m.group(3), m.group(4)
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vol, px = _num(m.group(5)), _num(m.group(6))
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ev = _base(oid, _t_raw_ts(m.group(7), ts), _seq(f"{day}|{oid}"),
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"fill", account, line)
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ev["symbol"] = sym
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ev["qty"] = vol
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ev["price"] = px
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ev["remark"] = f"tid={tid}" # 回执行 tid 归因留证
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events.append(ev)
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return events
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def classify_reject(action: str, day_high: float | None, day_low: float | None,
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limit_up: float | None, limit_down: float | None,
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bought_today: bool) -> str:
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"""拒单两分法（spec §4.7 第3条，A股无公开惯例自定口径）。
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T1/CASH=决策层违规；LIMIT_UP/LIMIT_DOWN/TIMEOUT=市场层不可执行。
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近似口径（日志无柜台拒因文本）：卖出拒单=T1(当日买入)→LIMIT_DOWN→TIMEOUT；
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买入拒单=LIMIT_UP(触板)→CASH(资金不足为主因,买入决策层兜底)。
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"""
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if action == "sell":
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if bought_today:
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return "T1"
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if day_low is not None and limit_down is not None \
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and day_low <= limit_down + 1e-6:
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return "LIMIT_DOWN"
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return "TIMEOUT"
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if day_high is not None and limit_up is not None \
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and day_high >= limit_up - 1e-6:
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return "LIMIT_UP"
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return "CASH"
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