claude_dev
e5e4eef807
- Account: cash资金T0/合并持仓/equity盯市/cash_enough买单检查 - StrategyRunner: 分户持仓+realized_pnl归因/unrealized_pnl - transfer_fee 直接用(matcher已双向,不再×2,review H3) - unfreeze_all 对称(总账+分户,T+1每日解冻) 7 tests passed.
52 lines
2.0 KiB
Python
52 lines
2.0 KiB
Python
"""模拟盘分户账：每策略持仓 + 已实现盈亏归因（spec §7 双层记账分户层）。
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与 Account 共享同一笔 trade：Account 记合并总账，StrategyRunner 记该策略归因。
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"""
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from .models import OrderSide, PaperTrade
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from .position_ledger import PositionLedger
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class StrategyRunner:
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def __init__(self, strategy_id: str, strategy=None, paper_cta_engine=None) -> None:
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self.strategy_id: str = strategy_id
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self.strategy = strategy
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self.paper_cta_engine = paper_cta_engine
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self.positions: dict[str, PositionLedger] = {}
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self.realized_pnl: float = 0.0
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self.commission_paid: float = 0.0
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def _position(self, symbol: str) -> PositionLedger:
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if symbol not in self.positions:
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self.positions[symbol] = PositionLedger(symbol)
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return self.positions[symbol]
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def apply_trade(self, trade: PaperTrade) -> None:
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pos = self._position(trade.symbol)
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if trade.side == OrderSide.BUY:
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pos.apply_buy(trade.price, trade.volume)
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self.commission_paid += trade.commission + trade.transfer_fee
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else:
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avg = pos.avg_price
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realized = (
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(trade.price - avg) * trade.volume
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- trade.commission - trade.stamp_duty - trade.transfer_fee
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)
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self.realized_pnl += realized
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self.commission_paid += (
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trade.commission + trade.stamp_duty + trade.transfer_fee
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)
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pos.apply_sell(trade.price, trade.volume)
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def unfreeze_all(self) -> None:
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"""每日开盘前：T+1 解冻分户持仓（与 Account.unfreeze_all 对称）。"""
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for p in self.positions.values():
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p.unfreeze()
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def unrealized_pnl(self, bars_raw: dict[str, float]) -> float:
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"""按 raw 收盘价算浮动盈亏（未实现）。"""
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total = 0.0
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for sym, p in self.positions.items():
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if p.volume > 0:
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total += (bars_raw.get(sym, p.avg_price) - p.avg_price) * p.volume
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return total
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