claude_dev
43b6a58ba7
ashare_engine override load_data: 5m/15m 直查 dbbardata 转 BarData(MINUTE), 绕过 vnpy Interval enum 限制(原生只认 d/1h/1m)。cta_engine +interval 参数, 5m/15m 映射 MINUTE 过父类校验。api(schema/routes)+orchestrator 透传 interval。 顺带修 cta_engine DB路径污染(yaml NAS路径在Win VPS误解析→改读vt_setting.json)。 测试: 15m 600519一年 3888bars total_return-0.22 sharpe-2.04; 5m 11664bars; 日线未回归(237bars)。
274 lines
11 KiB
Python
274 lines
11 KiB
Python
"""A 股适配层：子类化 vnpy_ctastrategy BacktestingEngine + DailyResult。
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vnpy 源码零修改，全部覆写在本文件。
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- AShareDailyResult：A 股费用模型（佣金保底、印花税卖方、过户费沪市）
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- AShareBacktestingEngine：
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- send_order 覆写 → 做空拦截（SHORT+OPEN 拒单）+ 定寸重算 volume
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- update_daily_close 覆写 → 工厂换 AShareDailyResult（父类在 :647 实例化 DailyResult）
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- load_data 覆写 → 支持 5m/15m 周期（vnpy Interval enum 不认 '5m'/'15m'）
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"""
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from __future__ import annotations
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import logging
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from datetime import datetime
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from vnpy_ctastrategy.backtesting import BacktestingEngine, DailyResult
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from vnpy.trader.constant import Direction, Offset, Interval, Exchange
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logger = logging.getLogger(__name__)
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class AShareDailyResult(DailyResult):
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"""A 股日度盈亏：佣金双边保底 + 印花税卖方 + 过户费沪市。
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父类 calculate_pnl 用 turnover*rate 算佣金（单边商），A 股实际：
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- 佣金 = max(turnover * commission_rate, min_commission)，买卖都收
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- 印花税 = turnover * stamp_duty_rate，卖方 only（direction==SHORT）
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- 过户费 = turnover * transfer_fee_rate，沪市 only
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"""
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def __init__(
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self,
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date,
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close_price: float,
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commission_rate: float = 0.00025,
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min_commission: float = 5.0,
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stamp_duty_rate: float = 0.0005,
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transfer_fee_rate: float = 0.00001,
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is_sse: bool = False,
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) -> None:
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super().__init__(date, close_price)
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self.commission_rate: float = commission_rate
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self.min_commission: float = min_commission
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self.stamp_duty_rate: float = stamp_duty_rate
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self.transfer_fee_rate: float = transfer_fee_rate
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self.is_sse: bool = is_sse
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# 费用明细（持久化可见——父类 calculate_result 会遍历 __dict__ 落列）
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self.stamp_duty: float = 0.0
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self.transfer_fee: float = 0.0
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def calculate_pnl(
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self,
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pre_close: float,
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start_pos: float,
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size: float,
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rate: float,
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slippage: float,
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) -> None:
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"""覆写父类：用 A 股费用模型替换 commission = turnover * rate。
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签名与父类一致（calculate_result 传 self.rate/self.slippage/self.size），
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但 rate 参数被忽略——佣金由 self.commission_rate + self.min_commission 决定。
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"""
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# 首日无 pre_close 时用 1 防除零（与父类逻辑一致）
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self.pre_close = pre_close if pre_close else 1
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self.start_pos = start_pos
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self.end_pos = start_pos
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self.holding_pnl = self.start_pos * (self.close_price - self.pre_close) * size
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self.trade_count = len(self.trades)
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for trade in self.trades:
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if trade.direction == Direction.LONG:
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pos_change = trade.volume
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else:
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pos_change = -trade.volume
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self.end_pos += pos_change
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turnover: float = trade.volume * size * trade.price
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self.trading_pnl += pos_change * (self.close_price - trade.price) * size
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self.slippage += trade.volume * size * slippage
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self.turnover += turnover
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# A 股佣金：双边，最低 min_commission 元
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self.commission += max(turnover * self.commission_rate, self.min_commission)
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# 印花税：卖方 only（SHORT = 卖出）
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if trade.direction == Direction.SHORT:
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self.stamp_duty += turnover * self.stamp_duty_rate
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# 过户费：沪市 only
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if self.is_sse:
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self.transfer_fee += turnover * self.transfer_fee_rate
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# net_pnl 扣除全部费用
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self.total_pnl = self.trading_pnl + self.holding_pnl
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self.net_pnl = (
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self.total_pnl
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- self.commission
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- self.slippage
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- self.stamp_duty
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- self.transfer_fee
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)
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class AShareBacktestingEngine(BacktestingEngine):
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"""A 股回测引擎：long-only 拦截 + A 股费用。
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覆写点：
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1. send_order → 拦截 SHORT+OPEN（A股不可做空）
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2. update_daily_close → 工厂换 AShareDailyResult（父类 :647 实例化 DailyResult）
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定寸（C1）通过 engine.size = N 实现，不在此处处理：
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cta_engine 在 load_data 后取首根 bar close 算 N = floor(capital*pct/close/100)*100，
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设置 engine.size = N。vnpy 的 turnover/PnL 自动 ×size，策略 volume 保持 1 手=N 股=满仓。
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"""
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def __init__(self) -> None:
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super().__init__()
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# A 股费用参数（默认值，cta_engine 可覆盖）
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self.commission_rate: float = 0.00025 # 万 2.5
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self.min_commission: float = 5.0 # 最低 5 元
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self.stamp_duty_rate: float = 0.0005 # 卖方 0.05%
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self.transfer_fee_rate: float = 0.00001 # 沪市 0.001%
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self.is_sse: bool = False
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# 5m/15m 适配：vnpy Interval enum 不认 '5m'/'15m'，cta_engine 把 engine.interval
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# 映射成 Interval.MINUTE 让父类 set_parameters 校验通过，真实 DB interval 字符串
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# 存此字段供 load_data 自定义路径使用。默认 "d" 走 vnpy 原生日线路径。
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self.raw_interval: str = "d"
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self.sqlite_db_path: str | None = None # 由 cta_engine 注入（_dcfg.data_paths["vnpy_db"]）
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def send_order(
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self,
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strategy,
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direction: Direction,
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offset: Offset,
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price: float,
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volume: float,
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stop: bool,
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lock: bool,
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net: bool,
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) -> list:
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"""覆写父类 send_order：做空拦截（C2）。
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C2 做空拦截：SSE/SZSE 标的不可做空，SHORT+OPEN 直接拒单。
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SHORT+CLOSE（平多）允许。
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volume 不动——定寸由 engine.size = N 实现（见类文档）。
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"""
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if direction == Direction.SHORT and offset == Offset.OPEN:
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logger.warning(
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"A股不支持做空，拒单: direction=%s offset=%s price=%s volume=%s",
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direction, offset, price, volume,
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)
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return []
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return super().send_order(
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strategy, direction, offset, price, volume, stop, lock, net
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)
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def update_daily_close(self, price: float) -> None:
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"""覆写父类工厂方法：用 AShareDailyResult 替换 DailyResult。
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父类原实现（backtesting.py:639-647）：
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daily_result = self.daily_results.get(d)
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if daily_result: daily_result.close_price = price
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else: self.daily_results[d] = DailyResult(d, price)
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"""
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d = self.datetime.date()
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daily_result = self.daily_results.get(d, None)
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if daily_result:
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daily_result.close_price = price
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else:
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self.daily_results[d] = AShareDailyResult(
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d,
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price,
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commission_rate=self.commission_rate,
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min_commission=self.min_commission,
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stamp_duty_rate=self.stamp_duty_rate,
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transfer_fee_rate=self.transfer_fee_rate,
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is_sse=self.is_sse,
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)
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def load_data(self) -> None:
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"""覆写父类：支持 5m/15m 周期（绕过 vnpy Interval enum 限制）。
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vnpy Interval enum 只有 MINUTE('1m')/HOUR('1h')/DAILY('d') 等，不认 '5m'/'15m'。
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父类 load_data 调 ``INTERVAL_DELTA_MAP[self.interval]`` 和
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``load_bar_data(..., self.interval, ...)`` 都依赖 enum，传 '15m' 会 ValueError。
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适配思路：self.interval 已被父类 set_parameters 映射成 Interval.MINUTE（enum
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校验通过），真实 DB interval 存 self.raw_interval。当 raw_interval 是 5m/15m
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时，直接 sqlite 查 dbbardata 表，把每行转 BarData(interval=Interval.MINUTE)，
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绕过 vnpy database_manager 的 enum 限制；其余周期（d/1m 等）走 vnpy 原生路径。
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"""
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if self.raw_interval not in ("5m", "15m"):
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super().load_data()
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return
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self._load_intraday_data()
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def _load_intraday_data(self) -> None:
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"""5m/15m 直查 SQLite → BarData(MINUTE)，绕过 vnpy enum 限制。"""
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from vnpy.trader.object import BarData
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import sqlite3
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self.output(f"开始加载 {self.raw_interval} 历史数据（ashare 适配）")
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if not self.end:
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self.end = datetime.now()
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if self.start >= self.end:
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self.output("起始日期必须小于结束日期")
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return
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db_path = self.sqlite_db_path
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if not db_path:
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try:
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from vnpy.trader.setting import SETTINGS
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db_path = SETTINGS.get("database.database")
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except Exception:
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db_path = None
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if not db_path:
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raise RuntimeError(
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"5m/15m 回测需要 sqlite_db_path（或 SETTINGS['database.database']），"
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"cta_engine 应在 load_data 前注入。"
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)
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symbol, exchange_str = self.vt_symbol.split(".")
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# peewee DateTimeField 存的是 ISO 字符串；start/end 用 datetime 比较即可
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# （SQLite 会把参数转成可比较的字符串形式）。
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conn = sqlite3.connect(db_path)
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try:
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cur = conn.execute(
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"SELECT datetime, volume, turnover, open_interest, "
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"open_price, high_price, low_price, close_price "
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"FROM dbbardata "
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"WHERE symbol=? AND exchange=? AND interval=? "
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"AND datetime>=? AND datetime<=? "
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"ORDER BY datetime",
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(symbol, exchange_str, self.raw_interval, self.start, self.end),
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)
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rows = cur.fetchall()
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finally:
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conn.close()
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exchange = Exchange(exchange_str)
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bars: list[BarData] = []
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for dt, vol, turnover, oi, o, h, l, c in rows:
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if isinstance(dt, str):
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try:
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dt = datetime.fromisoformat(dt)
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except ValueError:
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continue
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# vnpy_sqlite save 时 convert_tz 改成 UTC，回测时按本地时间跑即可
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# （日线回测也是直接读 DB datetime，行为一致）。
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bars.append(BarData(
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symbol=symbol,
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exchange=exchange,
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datetime=dt,
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interval=Interval.MINUTE, # 5m/15m 不在 enum，统一标 MINUTE
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volume=float(vol or 0),
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turnover=float(turnover or 0),
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open_interest=float(oi or 0),
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open_price=float(o or 0),
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high_price=float(h or 0),
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low_price=float(l or 0),
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close_price=float(c or 0),
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gateway_name="sqlite",
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))
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self.history_data.clear()
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self.history_data.extend(bars)
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self.output(f"历史数据加载完成，数据量：{len(self.history_data)}")
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