89 lines
3.5 KiB
Python
89 lines
3.5 KiB
Python
"""组合策略实盘适配文件(bullet_trade LiveEngine 加载的聚宽风格 strategy_file)。
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bullet_trade 0.9.x LiveEngine 只认策略文件:本文件 ``initialize(context)`` 里把
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sanguo_portfolio 的 StrategyTemplate 策略挂到 run_daily/run_monthly 定时器,
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下单走 bullet_trade 顶层 API(live 模式自动路由 LiveEngine → QmtBroker)。
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配置从 env 读(supervisor 注入,或手动 set 后直跑 ``python -m sanguo_portfolio.runner_live``):
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SANGUO_LIVE_STRATEGY all_weather / momentum_timing / value_selection / small_cap
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SANGUO_LIVE_MAX_POOL 选股池上限(默认 30)
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数据 provider 由 runner_live ``set_data_provider`` 先行注入(miniQMT live 模式)。
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"""
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from __future__ import annotations
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import logging
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import os
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logger = logging.getLogger(__name__)
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def _build_live_strategy(provider):
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"""env 配置 → StrategyTemplate 实例(对齐 runner_backtest._build_strategy)。"""
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from sanguo_portfolio.strategies import (
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AllWeatherConfig, AllWeatherStrategy,
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ChannelTestConfig, ChannelTestStrategy,
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MomentumTimingConfig, MomentumTimingStrategy,
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SmallCapConfig, SmallCapStrategy,
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ValueSelectionConfig, ValueSelectionStrategy,
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)
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name = os.environ.get("SANGUO_LIVE_STRATEGY", "all_weather")
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max_pool = int(os.environ.get("SANGUO_LIVE_MAX_POOL", "30") or 30)
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factories = {
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"all_weather": lambda: AllWeatherStrategy(
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provider=provider, config=AllWeatherConfig(max_pool=max_pool)),
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"momentum_timing": lambda: MomentumTimingStrategy(
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provider=provider, config=MomentumTimingConfig(max_pool=max_pool)),
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"value_selection": lambda: ValueSelectionStrategy(
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provider=provider, config=ValueSelectionConfig(max_pool=max_pool)),
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"small_cap": lambda: SmallCapStrategy(
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provider=provider, config=SmallCapConfig(max_pool=max_pool)),
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"channel_test": lambda: ChannelTestStrategy(
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provider=provider, config=ChannelTestConfig()),
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}
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if name not in factories:
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raise ValueError(
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f"未知 SANGUO_LIVE_STRATEGY: {name}"
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f"(支持: {' / '.join(factories)})"
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)
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return factories[name]()
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def initialize(context):
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"""LiveEngine 启动时回调:挂策略 + 定时器 + 费用滑点。"""
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from bullet_trade.core.api import ( # type: ignore
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order_target_value as bt_otv,
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order_value as bt_ov,
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set_order_cost, set_slippage,
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)
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from bullet_trade.core.settings import ( # type: ignore
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OrderCost, FixedSlippage, set_option as bt_set_option,
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)
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from bullet_trade.data.api import get_data_provider # type: ignore
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from sanguo_portfolio.runner_backtest import _register_schedule
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from sanguo_portfolio.strategies.all_weather import BrokerFacade
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strategy = _build_live_strategy(get_data_provider())
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_register_schedule(strategy)
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# broker 注入(与回测同构):下单委托 bullet_trade 顶层 API,live 下路由 engine
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strategy.broker = BrokerFacade(
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order_target_value=lambda c, v: bt_otv(c, v),
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order_value=lambda c, v: bt_ov(c, v),
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set_option=lambda k, v: bt_set_option(k, v),
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)
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# A 股费用 + 滑点(与回测默认一致)
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set_order_cost(
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OrderCost(
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open_tax=0.0, close_tax=0.001,
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open_commission=0.0003, close_commission=0.0003,
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min_commission=5.0,
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),
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type="stock",
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)
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set_slippage(FixedSlippage(value=0.001))
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strategy.initialize(context)
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logger.info("live strategy 已挂载: %s", type(strategy).__name__)
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