claude_dev
8d55e414fa
审计发现包装层系统性失真(2 CRITICAL+7 HIGH)，vnpy底座可信但A股场景未适配： - C1 定寸: engine.size=N(满仓手数)，策略volume=1手=N股，开平对称(pos归零) - C2 做空拦截: SHORT+OPEN拒单，long-only，SHORT+CLOSE平多允许 - H3 A股费用: AShareDailyResult重算(佣金保底5元/印花税卖方/过户费沪市) - H4 收益口径: simple return从balance算(不再用vnpy log return喂empyrical) - H5+口径: benchmark ffill对齐不缩样本; sizing_shares_per_lot暴露 - H7 退化检测: 零成交/空数据标degenerate不静默done - H8 task_id: optimize/factor用uuid4(原id()内存地址) - 静默except改warning 验证: 容器内真实vnpy DoubleMa 600000 2022-2024, total_return 1e-6→42.3%, end_balance 100万→142万, SHORT+OPEN成交0笔, N=7800股/手. 22 backtest测试全绿(含集成测试), API健康200.
40 lines
958 B
Python
40 lines
958 B
Python
"""
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Pydantic schemas for FastAPI request/response models
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"""
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from pydantic import BaseModel
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class CtaBacktestRequest(BaseModel):
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"""CTA backtest request schema"""
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symbol: str
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strategy: str
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params: dict = {}
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start: str
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end: str
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benchmark: str = "hs300"
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capital: float = 1_000_000
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position_pct: float = 0.95
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# A 股费用参数（可选，前端先不暴露，给默认值）
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commission_rate: float = 0.00025 # 万 2.5
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min_commission: float = 5.0 # 最低 5 元
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stamp_duty_rate: float = 0.0005 # 卖方 0.05%
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transfer_fee_rate: float = 0.00001 # 沪市 0.001%
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class OptimizeRequest(BaseModel):
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"""Optimization request schema"""
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symbol: str
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strategy: str
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grid: dict
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start: str
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end: str
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max_workers: int = 2
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class FactorAnalysisRequest(BaseModel):
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"""Factor analysis request schema"""
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symbols: list[str]
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factor_names: list[str]
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start: str
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end: str
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