claude_dev
164690373f
- 资金占用成本(spec§195): StrategyRunner.daily_borrow_cost(used×risk_free/365) 归因per_strategy_pnl(不碰account总账, account.equity真实净值不变); config risk_free_rate=0.02; engine.step mark_to_market后计扣; =0向后兼容跳过 - 分红送股(spec§295): dividend_source.py(akshare stock_history_dividend_detail, 实测600000/000001纯现金分红); PositionLedger.apply_split(volume×factor/avg÷factor); Account.apply_cash_dividend; engine._apply_dividends(除权日调整,现金先split后); mark_to_market停牌prev_close兜底(今收→前收→均价); _run_replay注入dividends日历 - 修_restore_ledger预存bug: PositionLedger.__init__加volume/frozen/avg_price参数 (原只symbol, live_orchestrator跨日恢复4参数调用会TypeError, 首次step空仓未暴露) - 139 passed(119基准+20分红+3占用成本), 无回归 - live_step dividends注入待分期项(每日拉全市场分红慢, 需run_daily_update预拉日历)
74 lines
3.1 KiB
Python
74 lines
3.1 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,
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symbol: str = "", max_allocation: float = float("inf")) -> 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.symbol: str = symbol
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self.max_allocation: float = max_allocation # 软限额（spec §195），默认不限
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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 used_allocation(self, closes: dict[str, float] | None = None) -> float:
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"""该策略已占用资金 = 持仓市值（spec §195 软限额检查用）。
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closes 为当日 raw 收盘价 {symbol: price}；缺省股票用 avg_price 兜底。
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"""
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closes = closes or {}
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return sum(
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p.volume * closes.get(sym, p.avg_price)
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for sym, p in self.positions.items() if p.volume > 0
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)
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def daily_borrow_cost(self, closes: dict[str, float] | None = None,
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risk_free_rate: float = 0.0) -> float:
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"""资金占用日成本 = 占用资金 × 年化无风险利率 / 365（spec §195 归因用）。
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纯归因记账：返回值由 PaperEngine 计入 per_strategy_pnl，不扣 account.cash。
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"""
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return self.used_allocation(closes) * risk_free_rate / 365.0
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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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