动作引擎四类自主动作/研判闸客户端/提议分流
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README.md
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README.md
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@ -27,6 +27,7 @@ app/
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recon.py 成交认领与入账映射 / 对账差异与修正 / 除权检测 / T+1 可用量
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rule_gate.py 规则闸终检: 上限/一手/可卖/冻结/刹车/行业/不追高 (减持只放行不阻拦)
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exec_timing.py 择时实现B: 分日配额 / 分笔 / 买卖出手判定 / 14:45 兜底 / 窗口收口
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action_engine.py 动作引擎: FILL 回踩补足 / ADD 盈利加仓 / DCA 补仓 / TRIM 保垫减仓
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tradedays.py 交易日历: 调度守卫与执行窗口计算
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db/session.py 三库连接 + **严格单表访问守卫** (JOIN/逗号连表/跨表子查询一律拒绝)
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repo/ 单表数据访问: pms_repo (自有 10 表) / downstream_repo (下游只读三表)
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@ -36,6 +37,8 @@ app/
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command_service.py 命令下达→校验→冲突→生效/规划→进度推进→撤销
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executor.py 方案→指令→分日出手→窗口收口 (规则闸与择时的编排落点)
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dispatcher.py 下发通道三适配器: shadow(默认) / plan_x / channel_y
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proposal_service.py 自主提议: 扫描→规则闸→研判闸→按自主档位分流 (执行/入队)
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judge.py 研判闸客户端 (决策系统未接通时自动降级为人工确认)
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ledger_service.py 成交回放 / 对账 / 除权 / 盘前 / 日终结算 / 运营日报
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market.py 行情 (Redis db13) 与参考位 (决策系统主口径 + 兜底自算)
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industry.py 行业划分可插拔适配器 (custom_table / gp_stock_category / 停用)
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@ -46,7 +49,8 @@ scripts/
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test_core_units.py 仓位与安全垫核心逻辑 14 例
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test_batch2_units.py 命令 / 方案 / 回放对账 纯逻辑 35 例
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test_batch3_units.py 规则闸 / 择时执行器实现B 纯逻辑 18 例
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test_wiring.py 装配自检: 服务层→核心→落表 全链路 (内存桩) 25 例
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test_batch4_units.py 动作引擎 四类自主动作触发与数量口径 11 例
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test_wiring.py 装配自检: 服务层→核心→落表 全链路 (内存桩) 30 例
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init_db.py 建表 (应用 ddl_pms_v1.sql, 幂等, 默认演练)
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check_db.py 实机连通性与表结构自检 (需真实 .env)
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```
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@ -96,7 +100,7 @@ git pull && docker compose build && docker compose up -d
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| 盘前准备 | 交易日 08:50 | T+1 可卖重置 / 参考位取数 / 刹车结算 | ✅ |
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| 命令轮询 | 每 1 分钟（全天） | 新命令解析 → 方案生成 → 状态机推进 | ✅ |
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| 成交回放 | 交易时段每 5 分钟 | `trading_order` 增量回放 + 盘中轻对账 | ✅ |
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| 盘中执行 | 交易时段每 1 分钟 | 方案转指令 → 择时出手（规则闸终检 → 下发 → 记子单） | ✅（自主提议扫描待下一批） |
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| 盘中执行 | 交易时段每 1 分钟 | 方案转指令 → 自主提议扫描 → 择时出手（规则闸终检 → 下发 → 记子单） | ✅ |
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| 信号消化 | 交易时段每 1 分钟 | 订阅决策系统盘中信号 | 🔜 下一批 |
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| T 仓平回 | 14:50 | 做T强制平回 | 🔜 二期（现只自证 T 仓为 0） |
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| 日终结算 | 15:10 | 除权检测 / 全量对账 / 安全垫 / 命令进度日结 | ✅ |
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@ -114,11 +118,21 @@ git pull && docker compose build && docker compose up -d
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影子模式下的完整闭环：页面下命令 → 方案落表 → 方案转指令 → 择时按日配额给出「今天该出多少、什么价」→ 你照着在 QMT 下单 → 5 分钟一次的回放把成交认领回批次账本 → 命令进度自动推进。整条链路除了「人手下单」这一步，其余与实盘接管后完全一致。
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## 自主提议的分流（设计 §6 / §7）
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动作引擎每分钟扫一遍持仓，产出 FILL / ADD / DCA / TRIM 四类候选，然后依次过三道：
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1. **规则闸**（一级，纯代码）——不过就拒，未通过项落评审账本。自主动作受组合刹车约束（命令驱动不受）。
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2. **研判闸**（二级，仅补足/加仓/补仓，委托决策系统）——`PMS_JUDGE_API_BASE` 为空即视为未接通，按设计**自动降级为人工确认**并记 ERROR，绝不把「研判拿不到」当成「研判通过」。
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3. **按自主档位分流**——`full` 执行、`propose_only` 入队（一期默认）、`off` 不扫描。
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两条无条件覆盖档位的规矩：**减持方向不设确认门槛**（TRIM 保垫减仓任何档位都直接落指令）；**−15% 及更深的补仓永远需用户确认**（即便档位是 full 也强制入队）。同一只票的同一动作若已有在途提议或在途指令，不重复提。
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## 已实现 / 待开发
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**已实现**：建表 DDL 与建表脚本；配置与运行参数中心；仓位规划器与安全垫账；命令系统（27 类命令全目录 + 双状态机 + 冲突识别）；方案生成器（降仓凑额四档、升仓、建仓分批、清仓/减至、行业清仓与限额、暂停买入撤单）；账本回放与对账引擎（成交认领、外部成交并入 BASE 告警、以下游为准修正、除权检测、T+1 可用量、连续不一致升级）；**规则闸终检**；**择时执行器实现 B**（分日配额、分笔、VWAP/回踩/不追高、14:45 兜底、停牌一字板顺延、窗口耗尽收口）；**三模式下发通道**；管理页面四块 + 运维/日报抽屉；调度器八个调度位；单测 92 例。
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**已实现**：建表 DDL 与建表脚本；配置与运行参数中心；仓位规划器与安全垫账；命令系统（27 类命令全目录 + 双状态机 + 冲突识别）；方案生成器（降仓凑额四档、升仓、建仓分批、清仓/减至、行业清仓与限额、暂停买入撤单）；账本回放与对账引擎（成交认领、外部成交并入 BASE 告警、以下游为准修正、除权检测、T+1 可用量、连续不一致升级）；规则闸终检；择时执行器实现 B（分日配额、分笔、VWAP/回踩/不追高、14:45 兜底、停牌一字板顺延、窗口耗尽收口）；三模式下发通道；**动作引擎四类自主动作 + 研判闸客户端 + 提议分流**；管理页面四块 + 运维/日报抽屉；调度器八个调度位；单测 108 例。
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**待开发（下一批）**：动作引擎（FILL/ADD/DCA/TRIM 自主提议扫描 + 提议入队）、决策系统信号订阅（风控 SELL / 止盈 / 反转 → 卖出方案）、研判闸对接与择时实现 A、T0 做T（二期）。
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**待开发（下一批）**：决策系统盘中信号订阅（风控 SELL / 止盈 / 反转 → 卖出方案或提议）、择时实现 A（委托决策系统盘中择时）、T0 做T（二期）。研判闸客户端已就位，等 bionic 侧 `process_intraday_audit` 新增 PMS 请求 direction 后，在页面填 `PMS_JUDGE_API_BASE` 即接通。
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**待外部协商**：`QMT_INTERFACE_REQUIREMENTS.md` 的 A/B/C/D 各项——尤其 A1（`trading_position` 完整 DDL 与可用数量列）、A2（`trading_order` 状态枚举与**来源标识**）、B1（统一指令通道）。在来源标识到位前，回放按「同股同向 + 下发早于成交 + FIFO」贪心认领，认领不上即判外部成交并告警；持仓数量列用候选名探测，探测结果可经页面「运维 → 导出下游表结构」查看，也是回填 D1 的现成材料。
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@ -0,0 +1,219 @@
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# -*- coding: utf-8 -*-
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"""
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动作引擎 · 自主提议扫描 (纯逻辑, 无外部依赖, 可单测)
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=====================================================
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设计 POSITION_MGMT_DESIGN.md §6 的四类自主动作。每条规则的触发口径与约束都照抄设计表:
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| 引擎 | 触发 | 关键约束 |
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|---|---|---|
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| FILL 回踩补足 | 建仓期(≤10 交易日)内回踩支撑带不破, 浮亏 < 3% | 每票 1 次; 补后 ≤ 目标仓位 |
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| ADD 盈利加仓 | 安全垫 ≥ +3% 且创 5 日新高或站上压力位 | 距上次 ≥2 交易日; ≤ 单股上限; 距 MA5 <+6% |
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| DCA 补仓 | 浮亏触及 −8%/−15% 评估档 (各评估一次, 执行终身一次) | ≤ 底仓 50%; −15% 及更深永远需用户确认 |
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| TRIM 保垫减仓 | 安全垫峰值 ≥6% 且回吐过半 → 减 1/3 锁盈 | 纯规则自动执行 (减持方向不设确认门槛) |
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本模块只回答「该不该动、动多少、为什么」, 不查库不下发:
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* 交易日相关的输入 (建仓天数、距上次加仓天数) 由 services 层用交易日历算好传进来,
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避免把日历依赖塞进纯逻辑。
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* 上限/一手/冻结等硬约束**不在这里重复判**, 统一由规则闸终检 (职责单一, 口径唯一)。
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这里只做「引擎自身的触发条件」与「批次额度」计算。
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输出候选统一结构, 供 proposal_service 走 规则闸 → 研判闸 → 按自主档位分流。
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"""
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from __future__ import annotations
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from app.core.cushion import dca_stage, trim_trigger
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from app.core.sizer import LOT, lot_qty
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A_FILL, A_ADD, A_DCA, A_TRIM = "FILL", "ADD", "DCA", "TRIM"
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BUY, SELL = "buy", "sell"
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# 需要送研判闸的动作 (设计 §7: 仅自主提议的补足/加仓/补仓/调仓)
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JUDGE_ACTIONS = {A_FILL, A_ADD, A_DCA}
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def _f(v, d=0.0):
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try:
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return float(v)
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except (TypeError, ValueError):
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return d
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def _cand(p, action, side, qty, reason, hard, *, confirm=False):
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return {"ts_code": p["ts_code"], "action": action, "side": side, "qty": int(qty),
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"reason": reason, "hard_numbers": hard, "needs_user_confirm": bool(confirm),
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"judge_required": action in JUDGE_ACTIONS}
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def batch_amount(p: dict, params: dict, idx: int) -> float:
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"""第 idx 批 (0=底仓 1=回踩补足 2=盈利加仓) 的金额额度 = 目标仓位 × 该批比例。"""
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scale = _f(params.get("scale"))
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target_pct = _f(p.get("target_pct")) or _f(params.get("stock_target_default"), 0.06)
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split = params.get("batch_split") or (0.5, 0.25, 0.25)
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ratio = split[idx] if idx < len(split) else 0.0
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return scale * target_pct * ratio
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def room_to_target(p: dict, params: dict) -> float:
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"""距目标仓位还差多少钱 (已达标返回 0)。"""
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scale = _f(params.get("scale"))
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target_pct = _f(p.get("target_pct")) or _f(params.get("stock_target_default"), 0.06)
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return max(0.0, target_pct * scale - _f(p.get("market_value")))
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# ================================================================ 四类动作
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def eval_fill(p: dict, params: dict, mkt: dict):
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"""回踩补足: 建仓期内回踩到支撑带但没破, 浮亏还浅 —— 把底仓补到位。"""
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if int(p.get("fill_count") or 0) > 0:
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return None # 每票 1 次
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tdays = mkt.get("tdays_since_open")
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if tdays is None or tdays > int(params.get("build_window_tdays", 10)):
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return None # 只在建仓期内
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cushion = p.get("cushion_pct")
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if cushion is None:
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return None
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floor = _f(params.get("fill_max_loss"), -0.03)
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if not (floor < _f(cushion) <= 0):
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return None # 浮亏 <3% 且尚未转盈
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support = _f(p.get("support_ref"))
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price = _f(p.get("price"))
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if support <= 0 or price <= 0:
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return None # 没有支撑参考位就不做这件事
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if price < support:
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return None # 支撑已破, 不补
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room = room_to_target(p, params)
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amt = min(batch_amount(p, params, 1), room)
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qty = lot_qty(amt, price)
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if qty < LOT:
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return None
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return _cand(p, A_FILL, BUY, qty,
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f"回踩补足: 建仓第 {tdays} 个交易日, 浮亏 {_f(cushion):.2%} 未破支撑 "
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f"{support}, 补 {qty} 股至目标仓位",
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{"cushion_pct": cushion, "support": support, "price": price,
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"tdays_since_open": tdays, "room_to_target": round(room, 2)})
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def eval_add(p: dict, params: dict, mkt: dict):
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"""盈利加仓: 垫子够厚 + 走出新高或站上压力位 —— 顺势加。"""
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cushion = p.get("cushion_pct")
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solid = _f(params.get("cushion_solid"), 0.03)
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if cushion is None or _f(cushion) < solid:
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return None # 垫子不厚不加
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price = _f(p.get("price"))
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if price <= 0:
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return None
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high5, pressure = _f(mkt.get("high5")), _f(p.get("pressure_ref"))
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breakout = (high5 > 0 and price >= high5) or (pressure > 0 and price >= pressure)
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if not breakout:
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return None
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since_add = mkt.get("tdays_since_last_add")
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if since_add is not None and since_add < 2:
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return None # 距上次加仓 ≥2 交易日
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ma5 = _f(mkt.get("ma5"))
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no_chase = _f(params.get("no_chase_ma5"), 0.06)
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if ma5 > 0 and price / ma5 - 1 > no_chase:
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return None # 不追高 (规则闸还会再拦一次)
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room = room_to_target(p, params)
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amt = min(batch_amount(p, params, 2), room) if room > 0 else batch_amount(p, params, 2)
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qty = lot_qty(amt, price)
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if qty < LOT:
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return None
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why = "创 5 日新高" if (high5 > 0 and price >= high5) else "站上压力位"
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return _cand(p, A_ADD, BUY, qty,
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f"盈利加仓: 安全垫 {_f(cushion):.2%} ≥ {solid:.0%} 且{why} "
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f"({price} vs 高点 {high5 or '—'}/压力 {pressure or '—'}), 加 {qty} 股",
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{"cushion_pct": cushion, "price": price, "high5": high5,
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"pressure": pressure, "ma5": ma5, "tdays_since_last_add": since_add})
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def eval_dca(p: dict, params: dict, mkt: dict):
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"""补仓: 浮亏触及评估档才评估, 各档评估一次、执行终身一次, 深档永远要用户点头。"""
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cushion = p.get("cushion_pct")
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if cushion is None or _f(cushion) >= 0:
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return None
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if int(p.get("dca_qty") or 0) > 0:
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return None # 终身一次, 已执行过
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triggers = params.get("dca_triggers") or (-0.08, -0.15)
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stage = dca_stage(_f(cushion), triggers)
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if stage <= 0:
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return None
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evaluated = int(p.get("dca_count") or 0)
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if stage <= evaluated:
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return None # 该档已评估过, 不重复提
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price = _f(p.get("price"))
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base_qty = int(p.get("base_qty") or 0)
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if price <= 0 or base_qty <= 0:
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return None
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max_ratio = _f(params.get("dca_max_ratio"), 0.5)
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qty = int(base_qty * max_ratio // LOT) * LOT
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if qty < LOT:
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return None
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deep = _f(params.get("dca_deep_confirm"), -0.15)
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is_deep = _f(cushion) <= deep + 1e-12
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depth = sorted(triggers, reverse=True)[stage - 1]
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return _cand(p, A_DCA, BUY, qty,
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f"补仓评估: 浮亏 {_f(cushion):.2%} 触及 {depth:.0%} 档 (第 {stage} 档), "
|
||||
f"拟补 {qty} 股 (≤底仓 {max_ratio:.0%})"
|
||||
+ ("; **深档: 必须用户确认**, 研判须回答杀逻辑还是杀情绪" if is_deep else ""),
|
||||
{"cushion_pct": cushion, "stage": stage, "trigger": depth,
|
||||
"base_qty": base_qty, "price": price, "stop_ref": p.get("stop_ref")},
|
||||
confirm=is_deep)
|
||||
|
||||
|
||||
def eval_trim(p: dict, params: dict, mkt: dict = None):
|
||||
"""保垫减仓: 垫子冲高后回吐过半 —— 减 1/3 把利润锁住。减持不设确认门槛, 规则自动执行。"""
|
||||
peak = _f(p.get("cushion_peak"))
|
||||
now = p.get("cushion_pct")
|
||||
if now is None:
|
||||
return None
|
||||
if not trim_trigger(peak, _f(now), _f(params.get("trim_peak"), 0.06),
|
||||
_f(params.get("trim_giveback"), 0.5)):
|
||||
return None
|
||||
total = int(p.get("total_qty") or 0)
|
||||
qty = int(total / 3 // LOT) * LOT
|
||||
if qty < LOT:
|
||||
return None
|
||||
return _cand(p, A_TRIM, SELL, qty,
|
||||
f"保垫减仓: 安全垫峰值 {peak:.2%} 回吐至 {_f(now):.2%} (过半), "
|
||||
f"减 {qty} 股锁盈",
|
||||
{"cushion_peak": peak, "cushion_pct": now, "total_qty": total,
|
||||
"price": p.get("price")})
|
||||
|
||||
|
||||
EVALUATORS = ((A_TRIM, eval_trim), (A_ADD, eval_add), (A_FILL, eval_fill), (A_DCA, eval_dca))
|
||||
|
||||
|
||||
# ================================================================ 扫描入口
|
||||
def scan(*, positions: list, params: dict, market: dict, skip: set = None) -> dict:
|
||||
"""扫描全部持仓, 产出候选动作。
|
||||
|
||||
positions: portfolio.positions_view()["held"] 的口径
|
||||
market: {ts_code: {ma5, high5, tdays_since_open, tdays_since_last_add}}
|
||||
skip: 已有在途提议/指令的 (ts_code, action) 集合 —— 不重复提
|
||||
返回 {"candidates": [...], "skipped": [...]}
|
||||
"""
|
||||
skip = skip or set()
|
||||
out, skipped = [], []
|
||||
for p in positions or []:
|
||||
code = p.get("ts_code")
|
||||
if not code or int(p.get("total_qty") or 0) <= 0:
|
||||
continue
|
||||
mkt = (market or {}).get(code) or {}
|
||||
frozen = (p.get("frozen_reason") or "NONE") != "NONE"
|
||||
for action, fn in EVALUATORS:
|
||||
if (code, action) in skip:
|
||||
skipped.append({"ts_code": code, "action": action, "why": "已有在途提议/指令"})
|
||||
continue
|
||||
# 冻结只禁增持, 减仓照评 (与规则闸同一口径, 这里先剪枝少算一遍)
|
||||
if frozen and action != A_TRIM:
|
||||
skipped.append({"ts_code": code, "action": action,
|
||||
"why": f"该股 {p['frozen_reason']}, 禁增持"})
|
||||
continue
|
||||
try:
|
||||
c = fn(p, params, mkt)
|
||||
except Exception as e: # 单票异常不能拖垮整轮扫描
|
||||
skipped.append({"ts_code": code, "action": action,
|
||||
"why": f"评估异常 {type(e).__name__}: {e}"})
|
||||
continue
|
||||
if c:
|
||||
out.append(c)
|
||||
return {"candidates": out, "skipped": skipped}
|
||||
|
|
@ -134,10 +134,11 @@ def replay_fills():
|
|||
def intraday_exec():
|
||||
"""盘中执行: 方案转指令 → 择时出手 (规则闸终检 → 下发 → 记子单)。
|
||||
|
||||
自主提议扫描 (FILL/ADD/DCA/TRIM 动作引擎) 仍为下一批交付。
|
||||
含自主提议扫描 (FILL/ADD/DCA/TRIM 动作引擎 → 规则闸 → 研判闸 → 按档位分流)。
|
||||
"""
|
||||
from app.services import executor
|
||||
from app.services import executor, proposal_service
|
||||
r = {"materialized": executor.materialize_plans()}
|
||||
r["proposals"] = proposal_service.scan_and_route()
|
||||
r.update(executor.run_tick())
|
||||
return r
|
||||
|
||||
|
|
|
|||
|
|
@ -0,0 +1,95 @@
|
|||
# -*- coding: utf-8 -*-
|
||||
"""
|
||||
研判闸客户端 · 二级关口 (设计 §7)
|
||||
==================================
|
||||
「PMS 备齐硬数字与账本流水作为 context → 请求决策系统研判 (其 process_intraday_audit
|
||||
新增 PMS 请求类 direction, 复用既有仲裁哲学: 代码算数、AI 裁定性、越界收口)
|
||||
→ 结构化答复 通过/驳回+理由。**研判服务不可用 → 自动降级 propose_only
|
||||
(人工确认替位) + ERROR 告警**。命令驱动动作不过研判闸 (不用 AI 审用户)。」
|
||||
|
||||
当前状态: 决策系统侧的 PMS 请求 direction 尚未开发 (bionic 仓库的配套改造)。
|
||||
因此本模块默认 `PMS_JUDGE_API_BASE` 为空 = 未接通, 一律返回 UNAVAILABLE, 调用方按设计
|
||||
降级为「人工确认替位」。接通后只需在页面把 base 填上, 无需改代码。
|
||||
|
||||
返回结构固定: {"verdict": PASS|REJECT|UNAVAILABLE, "reason", "degraded", "raw"}
|
||||
"""
|
||||
from __future__ import annotations
|
||||
|
||||
import logging
|
||||
|
||||
from app.services import param_store
|
||||
|
||||
logger = logging.getLogger("pms.judge")
|
||||
|
||||
PASS, REJECT, UNAVAILABLE = "PASS", "REJECT", "UNAVAILABLE"
|
||||
|
||||
|
||||
def enabled() -> bool:
|
||||
return param_store.get_bool("PMS_JUDGE_ENABLED", True)
|
||||
|
||||
|
||||
def base_url() -> str:
|
||||
return (param_store.get("PMS_JUDGE_API_BASE", "") or "").strip().rstrip("/")
|
||||
|
||||
|
||||
def available() -> bool:
|
||||
return bool(enabled() and base_url())
|
||||
|
||||
|
||||
def judged_actions() -> set:
|
||||
return set(param_store.get_list("PMS_JUDGE_ACTIONS", ["FILL", "ADD", "DCA", "SWITCH"]))
|
||||
|
||||
|
||||
def status() -> dict:
|
||||
if not enabled():
|
||||
return {"available": False, "reason": "研判闸已关闭 (PMS_JUDGE_ENABLED=False), "
|
||||
"自主提议一律走人工确认"}
|
||||
if not base_url():
|
||||
return {"available": False, "reason": "决策系统 PMS 研判接口未配置 "
|
||||
"(PMS_JUDGE_API_BASE 为空) —— 待 bionic 侧配套改造"
|
||||
"完成后填入, 当前自动降级为人工确认"}
|
||||
return {"available": True, "base": base_url(), "actions": sorted(judged_actions())}
|
||||
|
||||
|
||||
def request(candidate: dict, context: dict = None, *, timeout: int = None) -> dict:
|
||||
"""请求一次研判。任何异常/超时/未接通都返回 UNAVAILABLE (绝不把提议当成通过)。"""
|
||||
action = str(candidate.get("action") or "").upper()
|
||||
if action not in judged_actions():
|
||||
return {"verdict": PASS, "reason": f"{action} 不在研判范围, 规则闸通过即可",
|
||||
"degraded": False, "raw": None}
|
||||
if not available():
|
||||
st = status()
|
||||
logger.error("[研判闸] 不可用, 降级人工确认: %s", st["reason"])
|
||||
return {"verdict": UNAVAILABLE, "reason": st["reason"], "degraded": True, "raw": None}
|
||||
|
||||
payload = {
|
||||
"direction": "PMS_JUDGE", "action": action, "ts_code": candidate.get("ts_code"),
|
||||
"qty": candidate.get("qty"), "reason": candidate.get("reason"),
|
||||
"hard_numbers": candidate.get("hard_numbers") or {},
|
||||
"context": context or {},
|
||||
# 设计要求: 补仓类研判必须回答「下跌是杀逻辑还是杀情绪」
|
||||
"must_answer": (["下跌是杀逻辑还是杀情绪"] if action == "DCA" else []),
|
||||
}
|
||||
to = int(timeout or param_store.get_int("PMS_JUDGE_TIMEOUT", 90))
|
||||
url = base_url() + (param_store.get("PMS_JUDGE_PATH", "/api/intraday/pms_judge") or "")
|
||||
try:
|
||||
import requests
|
||||
r = requests.post(url, json=payload, timeout=to)
|
||||
r.raise_for_status()
|
||||
data = r.json() or {}
|
||||
except Exception as e:
|
||||
logger.error("[研判闸] 请求失败, 降级人工确认: %s: %s", type(e).__name__, e)
|
||||
return {"verdict": UNAVAILABLE, "reason": f"研判请求失败: {type(e).__name__}: {e}",
|
||||
"degraded": True, "raw": None}
|
||||
|
||||
verdict = str(data.get("verdict") or data.get("decision") or "").upper()
|
||||
if verdict in ("PASS", "APPROVE", "APPROVED", "ALLOW", "通过"):
|
||||
v = PASS
|
||||
elif verdict in ("REJECT", "DENY", "DENIED", "BLOCK", "驳回"):
|
||||
v = REJECT
|
||||
else:
|
||||
logger.error("[研判闸] 答复无法识别 (%s), 按不可用降级", verdict or data)
|
||||
return {"verdict": UNAVAILABLE, "reason": f"研判答复无法识别: {verdict or data}",
|
||||
"degraded": True, "raw": data}
|
||||
return {"verdict": v, "reason": data.get("reason") or data.get("rationale") or "",
|
||||
"degraded": False, "raw": data}
|
||||
|
|
@ -189,6 +189,27 @@ def get_ma5(ts_code: str):
|
|||
return val
|
||||
|
||||
|
||||
def get_high5(ts_code: str):
|
||||
"""近 5 个交易日最高价 (动作引擎「创 5 日新高」用)。同样按日缓存。"""
|
||||
today = datetime.now().strftime("%Y%m%d")
|
||||
key = f"H5:{ts_code}"
|
||||
if _ma_cache["day"] != today:
|
||||
_ma_cache.update({"day": today, "data": {}})
|
||||
if key in _ma_cache["data"]:
|
||||
return _ma_cache["data"][key]
|
||||
val = None
|
||||
try:
|
||||
rows = _factor_rows(ts_code, days=10)
|
||||
highs = [float(r.get("high_qfq") or r.get("close_qfq") or 0) for r in rows]
|
||||
highs = [h for h in highs if h > 0]
|
||||
if len(highs) >= 5:
|
||||
val = round(max(highs[-5:]), 3)
|
||||
except Exception as e:
|
||||
logger.warning("5日高点取数失败 [%s]: %s", ts_code, e)
|
||||
_ma_cache["data"][key] = val
|
||||
return val
|
||||
|
||||
|
||||
def get_refs(ts_code: str, *, base_cost=None) -> dict:
|
||||
"""参考位: 决策系统主口径 → 日龄超期/缺失时兜底自算 → 都拿不到返回 source=none。"""
|
||||
stale_days = param_store.get_int("PMS_REF_STALE_TDAYS", 3)
|
||||
|
|
|
|||
|
|
@ -73,6 +73,8 @@ DESC = {
|
|||
"PMS_REF_STALE_TDAYS": "决策系统结论日龄超此转自算兜底",
|
||||
"PMS_JUDGE_ENABLED": "研判闸开关", "PMS_JUDGE_ACTIONS": "需过研判闸的动作",
|
||||
"PMS_JUDGE_TIMEOUT": "研判超时 (秒) → 降级 propose_only",
|
||||
"PMS_JUDGE_API_BASE": "决策系统 PMS 研判接口根地址; 留空=未接通, 自动降级人工确认",
|
||||
"PMS_JUDGE_PATH": "研判接口路径 (bionic 侧配套改造后确定)",
|
||||
"PMS_T0_RATIO_MAX": "T 仓硬上限 (占持仓)", "PMS_T0_PULLBACK_PCT": "正T: 距当日高点回落触发",
|
||||
"PMS_T0_RALLY_PCT": "反T: 日内涨幅触发", "PMS_T0_ROUND_TARGET": "单次T目标价差",
|
||||
"PMS_T0_CLOSE_TIME": "T仓强制平回时点", "PMS_T0_STOCK_DAY_LOSS": "单票当日T亏熔断",
|
||||
|
|
|
|||
|
|
@ -0,0 +1,264 @@
|
|||
# -*- coding: utf-8 -*-
|
||||
"""
|
||||
自主提议: 扫描 → 规则闸 → 研判闸 → 按自主档位分流 (设计 §6 / §7)
|
||||
==================================================================
|
||||
分流规则 (设计原文):
|
||||
full 闸门与研判通过即执行 → 直接落指令
|
||||
propose_only 增持类全部待用户确认 (一期默认) → 落 pms_proposal 队列
|
||||
off 不扫描
|
||||
|
||||
两条无条件覆盖档位的规矩:
|
||||
* **减持方向不设确认门槛** —— TRIM 保垫减仓属纯规则自动执行, 任何档位都直接落指令。
|
||||
* **−15% 及更深的补仓永远需用户确认** —— 即便档位是 full, 也强制入队。
|
||||
|
||||
研判闸不可用时 (决策系统未接通/超时), 按设计自动降级为 propose_only + ERROR 告警,
|
||||
**绝不把「研判拿不到」当成「研判通过」**。
|
||||
"""
|
||||
from __future__ import annotations
|
||||
|
||||
import logging
|
||||
from datetime import datetime, timedelta
|
||||
|
||||
from app.core import action_engine as ae
|
||||
from app.core import command_spec as cs
|
||||
from app.core import rule_gate
|
||||
from app.core import tradedays as td
|
||||
from app.repo import pms_repo
|
||||
from app.services import (command_service, executor, judge, market, param_store, portfolio)
|
||||
|
||||
logger = logging.getLogger("pms.proposal")
|
||||
|
||||
AUTONOMY_FULL, AUTONOMY_PROPOSE, AUTONOMY_OFF = "full", "propose_only", "off"
|
||||
|
||||
|
||||
def scan_and_route(*, now=None, dry_run: bool = False) -> dict:
|
||||
"""自主提议扫描一轮。dry_run=True 只出候选与判定, 不落任何表。"""
|
||||
now = now or datetime.now()
|
||||
out = {"ok": True, "autonomy": None, "candidates": 0, "executed": [], "queued": [],
|
||||
"rejected": [], "skipped": [], "errors": [], "degraded": False, "dry_run": dry_run}
|
||||
|
||||
autonomy = param_store.get("PMS_AUTONOMY", AUTONOMY_PROPOSE)
|
||||
out["autonomy"] = autonomy
|
||||
if autonomy == AUTONOMY_OFF:
|
||||
out["skipped"].append({"why": "自主档位 off, 不扫描"})
|
||||
return out
|
||||
if param_store.get_bool("PMS_GLOBAL_EXEC_HALT", False):
|
||||
out["skipped"].append({"why": "全局暂停执行 (休假模式)"})
|
||||
return out
|
||||
|
||||
try:
|
||||
view = portfolio.positions_view()
|
||||
params = _scan_params(view)
|
||||
mkt = _market_ctx(view["held"], now)
|
||||
params["_mkt"] = mkt # 规则闸要用同一份 MA5, 不再重取
|
||||
skip = _inflight_keys()
|
||||
scanned = ae.scan(positions=view["held"], params=params, market=mkt, skip=skip)
|
||||
except Exception as e:
|
||||
logger.exception("提议扫描失败")
|
||||
return {**out, "ok": False, "errors": [f"扫描失败: {type(e).__name__}: {e}"]}
|
||||
|
||||
out["candidates"] = len(scanned["candidates"])
|
||||
out["skipped"].extend(scanned["skipped"])
|
||||
stock_params = command_service.effective_stock_params()
|
||||
brake_active = td.ymd() < param_store.get_int("PMS_BRAKE_UNTIL", 0)
|
||||
|
||||
for c in scanned["candidates"]:
|
||||
try:
|
||||
_route_one(c, view, params, stock_params, brake_active, now, dry_run, out)
|
||||
except Exception as e:
|
||||
logger.exception("提议分流失败 %s", c.get("ts_code"))
|
||||
out["errors"].append(f"{c.get('ts_code')} {c.get('action')}: "
|
||||
f"{type(e).__name__}: {e}")
|
||||
out["ok"] = not out["errors"]
|
||||
return out
|
||||
|
||||
|
||||
def _route_one(c, view, params, stock_params, brake_active, now, dry_run, out):
|
||||
code, action, side = c["ts_code"], c["action"], c["side"]
|
||||
pos = _pos_of(view, code)
|
||||
price = float(pos.get("price") or 0)
|
||||
|
||||
# ---- 一级: 规则闸 (自主动作受刹车约束, is_command=False) ----
|
||||
gate = rule_gate.check(
|
||||
side=side, action=action, qty=c["qty"], price=price,
|
||||
ctx={"ts_code": code, "position": pos,
|
||||
"day": {"price": price, "vwap": price,
|
||||
"ma5": (params.get("_mkt") or {}).get(code, {}).get("ma5"),
|
||||
"day_chg_from_open": None},
|
||||
"params": {"no_chase_ma5": params.get("no_chase_ma5"),
|
||||
"buy_halt_dayup": params.get("buy_halt_dayup"),
|
||||
"sector_source_ready": view["sector_ready"]},
|
||||
"caps": portfolio.caps_ctx(view, ts_code=code) if side == "buy" else None,
|
||||
"flags": {"buy_halt": params.get("buy_halt"), "exec_halt": params.get("exec_halt"),
|
||||
"brake_active": brake_active,
|
||||
"blacklisted": bool(stock_params.get(code, {}).get("black")),
|
||||
"is_command": False}})
|
||||
if not gate["passed"]:
|
||||
out["rejected"].append({"ts_code": code, "action": action, "by": "rule",
|
||||
"failed": gate["failed"]})
|
||||
if not dry_run:
|
||||
pms_repo.insert_ledger(ts_code=code, action=action, arbiter="rule", verdict="REJECT",
|
||||
price_at=price, hard_numbers=c["hard_numbers"],
|
||||
failed_checks=gate["failed"], reason="自主提议未过规则闸")
|
||||
return
|
||||
|
||||
# ---- 二级: 研判闸 (仅补足/加仓/补仓; 减持不送研判) ----
|
||||
verdict = {"verdict": judge.PASS, "reason": "", "degraded": False}
|
||||
if c.get("judge_required"):
|
||||
verdict = judge.request(c, context={"position": _judge_ctx(pos),
|
||||
"recent_ledger": _recent_ledger(code)})
|
||||
if verdict["verdict"] == judge.REJECT:
|
||||
out["rejected"].append({"ts_code": code, "action": action, "by": "judge",
|
||||
"failed": [verdict.get("reason") or "研判驳回"]})
|
||||
if not dry_run:
|
||||
pms_repo.insert_ledger(ts_code=code, action=action, arbiter="judge",
|
||||
verdict="REJECT", price_at=price,
|
||||
hard_numbers=c["hard_numbers"],
|
||||
reason=verdict.get("reason") or "研判驳回")
|
||||
return
|
||||
if verdict.get("degraded"):
|
||||
out["degraded"] = True
|
||||
|
||||
# ---- 三级: 按档位分流 ----
|
||||
autonomy = out["autonomy"]
|
||||
force_queue = bool(c.get("needs_user_confirm")) or verdict.get("degraded")
|
||||
auto_exec = (side == "sell") or (autonomy == AUTONOMY_FULL and not force_queue)
|
||||
|
||||
if dry_run:
|
||||
(out["executed"] if auto_exec else out["queued"]).append(
|
||||
{**_brief(c), "route": "auto" if auto_exec else "queue",
|
||||
"judge": verdict["verdict"], "dry_run": True})
|
||||
return
|
||||
|
||||
if auto_exec:
|
||||
iid = _make_instruction(c, price, now)
|
||||
pms_repo.insert_ledger(ts_code=code, action=action,
|
||||
arbiter="judge" if c.get("judge_required") else "rule",
|
||||
verdict="PASS", price_at=price, hard_numbers=c["hard_numbers"],
|
||||
ref_id=iid,
|
||||
reason=(verdict.get("reason") or c["reason"])[:500])
|
||||
out["executed"].append({**_brief(c), "instruction_id": iid,
|
||||
"why": "减持方向自动执行" if side == "sell" else "档位 full"})
|
||||
else:
|
||||
pid = _make_proposal(c, price, verdict)
|
||||
why = ("深档补仓强制确认" if c.get("needs_user_confirm")
|
||||
else ("研判不可用, 降级人工确认" if verdict.get("degraded")
|
||||
else "档位 propose_only"))
|
||||
out["queued"].append({**_brief(c), "proposal_id": pid, "why": why})
|
||||
|
||||
|
||||
# ================================================================ 落表
|
||||
def _make_instruction(c, price, now) -> str:
|
||||
ymd = td.ymd(now)
|
||||
seq = int(now.strftime("%H%M%S"))
|
||||
iid = cs.make_instruction_id(ymd, c["ts_code"], c["action"], seq % 1000)
|
||||
window = param_store.get_int("PMS_EXEC_WINDOW_TDAYS", 3)
|
||||
pms_repo.insert_instruction(
|
||||
instruction_id=iid, origin_type="proposal", origin_id=None, ts_code=c["ts_code"],
|
||||
action=c["action"], side=c["side"], qty=c["qty"], limit_price=None,
|
||||
window_tdays=window, status=executor.ST_PROPOSED,
|
||||
progress={"deadline": str(td.window_deadline(now.date(), window)),
|
||||
"is_command": False, "children": [], "auto": True,
|
||||
"reason": c["reason"]})
|
||||
return iid
|
||||
|
||||
|
||||
def _make_proposal(c, price, verdict) -> str:
|
||||
ttl = param_store.get_int("PMS_PROPOSAL_TTL_HOURS", 24)
|
||||
pid = f"PRP_{td.ymd()}_{c['ts_code'].replace('.', '')}_{c['action']}"
|
||||
hn = {**(c.get("hard_numbers") or {}), "price": price, "reason": c["reason"],
|
||||
"needs_user_confirm": c.get("needs_user_confirm", False)}
|
||||
pms_repo.insert_proposal(
|
||||
proposal_id=pid, ts_code=c["ts_code"], action=c["action"], qty=c["qty"],
|
||||
hard_numbers=hn, expire_at=datetime.now() + timedelta(hours=ttl),
|
||||
judge_verdict=verdict.get("verdict"),
|
||||
judge_reason=(verdict.get("reason") or "")[:500])
|
||||
return pid
|
||||
|
||||
|
||||
# ================================================================ 上下文
|
||||
def _scan_params(view: dict) -> dict:
|
||||
p = dict(view["params"])
|
||||
p.update({
|
||||
"cushion_solid": param_store.get_float("PMS_CUSHION_SOLID", 0.03),
|
||||
"trim_peak": param_store.get_float("PMS_TRIM_PEAK", 0.06),
|
||||
"trim_giveback": param_store.get_float("PMS_TRIM_GIVEBACK", 0.5),
|
||||
"dca_triggers": param_store.get_tuple_floats("PMS_DCA_TRIGGERS", (-0.08, -0.15)),
|
||||
"dca_deep_confirm": param_store.get_float("PMS_DCA_DEEP_CONFIRM", -0.15),
|
||||
"dca_max_ratio": param_store.get_float("PMS_DCA_MAX_RATIO", 0.5),
|
||||
"no_chase_ma5": param_store.get_float("PMS_NO_CHASE_MA5", 0.06),
|
||||
"buy_halt_dayup": param_store.get_float("PMS_BUY_HALT_DAYUP", 0.05),
|
||||
"build_window_tdays": param_store.get_int("PMS_BUILD_WINDOW_TDAYS", 10),
|
||||
"fill_max_loss": param_store.get_float("PMS_FILL_MAX_LOSS", -0.03),
|
||||
})
|
||||
return p
|
||||
|
||||
|
||||
def _market_ctx(held: list, now) -> dict:
|
||||
"""每票的 MA5 / 5日高点 / 建仓天数 / 距上次加仓天数 (交易日口径)。"""
|
||||
out = {}
|
||||
today = now.date() if hasattr(now, "date") else now
|
||||
for p in held or []:
|
||||
code = p["ts_code"]
|
||||
d = {"ma5": market.get_ma5(code), "high5": market.get_high5(code)}
|
||||
opened, last_add = p.get("opened_date"), p.get("last_add_date")
|
||||
d["tdays_since_open"] = _tdays_between(opened, today)
|
||||
d["tdays_since_last_add"] = _tdays_between(last_add, today)
|
||||
out[code] = d
|
||||
return out
|
||||
|
||||
|
||||
def _tdays_between(start, today):
|
||||
"""start(含) 到 today 的交易日数; start 为空返回 None (调用方按「无约束」处理)。"""
|
||||
if not start:
|
||||
return None
|
||||
try:
|
||||
return max(0, td.trade_days_left(today, start) - 1)
|
||||
except Exception:
|
||||
return None
|
||||
|
||||
|
||||
def _inflight_keys() -> set:
|
||||
"""已有在途提议或在途指令的 (代码, 动作) —— 同一件事不重复提。"""
|
||||
keys = set()
|
||||
try:
|
||||
for p in pms_repo.list_proposals(statuses=("WAIT_USER",), limit=200):
|
||||
keys.add((p["ts_code"], p["action"]))
|
||||
except Exception as e:
|
||||
logger.warning("读提议队列失败: %s", e)
|
||||
try:
|
||||
for i in pms_repo.list_instructions(statuses=list(executor.LIVE), limit=300):
|
||||
keys.add((i["ts_code"], i.get("action")))
|
||||
except Exception as e:
|
||||
logger.warning("读在途指令失败: %s", e)
|
||||
return keys
|
||||
|
||||
|
||||
def _pos_of(view: dict, ts_code: str) -> dict:
|
||||
for x in view["positions"]:
|
||||
if x["ts_code"] == ts_code:
|
||||
return x
|
||||
return {"ts_code": ts_code, "total_qty": 0, "avail_qty": 0, "frozen_reason": "NONE"}
|
||||
|
||||
|
||||
def _judge_ctx(pos: dict) -> dict:
|
||||
"""送研判的账本快照 (设计 §7: PMS 备齐硬数字与账本流水作为 context)。"""
|
||||
keep = ("ts_code", "price", "avg_cost", "total_qty", "base_qty", "add_qty", "dca_qty",
|
||||
"cushion_pct", "cushion_peak", "pct_of_scale", "target_pct", "support_ref",
|
||||
"pressure_ref", "stop_ref", "ref_source", "sector", "neg_cushion_days")
|
||||
return {k: pos.get(k) for k in keep}
|
||||
|
||||
|
||||
def _recent_ledger(ts_code: str, limit: int = 10) -> list:
|
||||
try:
|
||||
rows = pms_repo.list_ledger(ts_code=ts_code, limit=limit)
|
||||
except Exception:
|
||||
return []
|
||||
return [{"at": str(r.get("decided_at")), "action": r.get("action"),
|
||||
"arbiter": r.get("arbiter"), "verdict": r.get("verdict"),
|
||||
"price": r.get("price_at"), "reason": r.get("reason")} for r in rows]
|
||||
|
||||
|
||||
def _brief(c: dict) -> dict:
|
||||
return {"ts_code": c["ts_code"], "action": c["action"], "side": c["side"],
|
||||
"qty": c["qty"], "reason": c["reason"]}
|
||||
|
|
@ -309,10 +309,17 @@ def api_cancel_instruction(instruction_id: str, payload: dict = Body(default={})
|
|||
payload.get("reason") or "页面人工撤销")
|
||||
|
||||
|
||||
@app.post("/api/ops/scan-proposals")
|
||||
def api_scan_proposals(dry_run: bool = Query(False)):
|
||||
"""自主提议扫描一轮 (动作引擎 → 规则闸 → 研判闸 → 按档位分流)。"""
|
||||
from app.services import proposal_service
|
||||
return ok(proposal_service.scan_and_route, dry_run=dry_run)
|
||||
|
||||
|
||||
@app.get("/api/dispatch-mode")
|
||||
def api_dispatch_mode():
|
||||
from app.services import dispatcher
|
||||
return ok(dispatcher.describe)
|
||||
from app.services import dispatcher, judge
|
||||
return ok(lambda: {"ok": True, **dispatcher.describe(), "judge": judge.status()})
|
||||
|
||||
|
||||
@app.get("/api/ops/downstream-schema")
|
||||
|
|
|
|||
|
|
@ -382,6 +382,9 @@
|
|||
propose_only 档位下, 增持类自主动作全部在此等待裁决; 减持方向不设确认门槛。
|
||||
采纳后先落指令表 (先记账后动作), 由择时执行器分日出手。
|
||||
</div>
|
||||
<el-alert v-if="dm.judge && !dm.judge.available" type="warning" effect="dark" show-icon
|
||||
:closable="false" style="margin-bottom:10px"
|
||||
:title="'研判闸未接通 —— ' + dm.judge.reason + ' (补足/加仓/补仓一律降级为人工确认)'"/>
|
||||
<el-table :data="proposals" size="small" border max-height="420">
|
||||
<el-table-column prop="proposal_id" label="提议号" width="230" class-name="mono"/>
|
||||
<el-table-column prop="ts_code" label="股票" width="110" class-name="mono"/>
|
||||
|
|
@ -416,6 +419,11 @@
|
|||
<el-button @click="ops('exec-tick')" :loading="opsLoading">出手一跳</el-button>
|
||||
<el-button @click="ops('sweep-windows')" :loading="opsLoading">窗口收口</el-button>
|
||||
</div>
|
||||
<div class="row" style="margin-top:8px">
|
||||
<el-button type="primary" @click="ops('scan-proposals?dry_run=true')" :loading="opsLoading">
|
||||
提议扫描试算 (不落表)</el-button>
|
||||
<el-button @click="ops('scan-proposals')" :loading="opsLoading">提议扫描</el-button>
|
||||
</div>
|
||||
<div class="row" style="margin-top:8px">
|
||||
<el-button @click="ops('replay')" :loading="opsLoading">成交回放</el-button>
|
||||
<el-button @click="ops('reconcile')" :loading="opsLoading">账本对账</el-button>
|
||||
|
|
|
|||
|
|
@ -99,6 +99,8 @@ class Settings(BaseSettings):
|
|||
PMS_JUDGE_ENABLED: bool = True
|
||||
PMS_JUDGE_ACTIONS: str = "FILL,ADD,DCA,SWITCH"
|
||||
PMS_JUDGE_TIMEOUT: int = 90 # 超时 → 降级 propose_only
|
||||
PMS_JUDGE_API_BASE: str = "" # 决策系统 PMS 研判接口根地址; 空=未接通(自动降级人工确认)
|
||||
PMS_JUDGE_PATH: str = "/api/intraday/pms_judge" # 研判接口路径 (bionic 侧配套改造后确定)
|
||||
|
||||
# --- T0 做T (命令授权制) ---
|
||||
PMS_T0_RATIO_MAX: float = 0.333 # T仓硬上限 (占持仓)
|
||||
|
|
|
|||
|
|
@ -8,7 +8,8 @@
|
|||
test_core_units.py 仓位规划器 / 安全垫与成本账 (14 例)
|
||||
test_batch2_units.py 命令状态机 / 方案生成器 / 回放对账纯逻辑 (35 例)
|
||||
test_batch3_units.py 规则闸 / 择时执行器实现B 纯逻辑 (18 例)
|
||||
test_wiring.py 装配自检: 服务层→核心→落表 全链路 (内存桩) (25 例)
|
||||
test_batch4_units.py 动作引擎 四类自主动作触发与数量口径 (11 例)
|
||||
test_wiring.py 装配自检: 服务层→核心→落表 全链路 (内存桩) (30 例)
|
||||
任一子集失败即整体失败 (退出码 1)。
|
||||
"""
|
||||
import os
|
||||
|
|
@ -18,7 +19,7 @@ import sys
|
|||
HERE = os.path.dirname(os.path.abspath(__file__))
|
||||
ROOT = os.path.dirname(HERE)
|
||||
SUITES = ["test_core_units.py", "test_batch2_units.py", "test_batch3_units.py",
|
||||
"test_wiring.py"]
|
||||
"test_batch4_units.py", "test_wiring.py"]
|
||||
|
||||
|
||||
def main():
|
||||
|
|
|
|||
|
|
@ -0,0 +1,201 @@
|
|||
# -*- coding: utf-8 -*-
|
||||
"""
|
||||
第四批模块单测 (实机运行, 零外部依赖)
|
||||
======================================
|
||||
运行: 在 tradingSystem 仓库根目录执行 python scripts/test_batch4_units.py
|
||||
覆盖: action_engine 四类自主动作的触发边界与数量口径 (FILL/ADD/DCA/TRIM) 及扫描剪枝。
|
||||
"""
|
||||
import os
|
||||
import sys
|
||||
import traceback
|
||||
|
||||
sys.path.insert(0, os.path.dirname(os.path.dirname(os.path.abspath(__file__))))
|
||||
|
||||
from app.core import action_engine as ae # noqa: E402
|
||||
|
||||
RESULTS = []
|
||||
|
||||
|
||||
def case(name):
|
||||
def deco(fn):
|
||||
RESULTS.append((name, fn))
|
||||
return fn
|
||||
return deco
|
||||
|
||||
|
||||
PARAMS = {"scale": 2_000_000, "stock_target_default": 0.06,
|
||||
"batch_split": (0.5, 0.25, 0.25), "cushion_solid": 0.03,
|
||||
"trim_peak": 0.06, "trim_giveback": 0.5,
|
||||
"dca_triggers": (-0.08, -0.15), "dca_deep_confirm": -0.15, "dca_max_ratio": 0.5,
|
||||
"no_chase_ma5": 0.06, "build_window_tdays": 10, "fill_max_loss": -0.03}
|
||||
|
||||
|
||||
def pos(**kw):
|
||||
p = {"ts_code": "600000.SH", "price": 10.0, "avg_cost": 10.0, "total_qty": 6000,
|
||||
"base_qty": 6000, "add_qty": 0, "dca_qty": 0, "market_value": 60_000,
|
||||
"cushion_pct": 0.0, "cushion_peak": 0.0, "target_pct": 0.06,
|
||||
"support_ref": None, "pressure_ref": None, "stop_ref": None,
|
||||
"fill_count": 0, "dca_count": 0, "frozen_reason": "NONE"}
|
||||
p.update(kw)
|
||||
return p
|
||||
|
||||
|
||||
def mkt(**kw):
|
||||
m = {"ma5": 10.0, "high5": 10.0, "tdays_since_open": 3, "tdays_since_last_add": 5}
|
||||
m.update(kw)
|
||||
return m
|
||||
|
||||
|
||||
# ================================================================ FILL
|
||||
@case("回踩补足·建仓期内浅亏未破支撑 → 按补足批额度补到目标")
|
||||
def _():
|
||||
c = ae.eval_fill(pos(price=9.8, cushion_pct=-0.02, support_ref=9.7, market_value=58_800),
|
||||
PARAMS, mkt())
|
||||
assert c and c["action"] == "FILL" and c["side"] == "buy", c
|
||||
assert c["qty"] == 3000, c # 补足批 3 万 ÷ 9.8 → 3000 股
|
||||
assert c["judge_required"] and not c["needs_user_confirm"]
|
||||
assert "未破支撑" in c["reason"]
|
||||
|
||||
|
||||
@case("回踩补足·每票一次 / 出建仓期 / 亏太深 / 破支撑 / 无支撑 一律不提")
|
||||
def _():
|
||||
base = dict(price=9.8, cushion_pct=-0.02, support_ref=9.7, market_value=58_800)
|
||||
assert ae.eval_fill(pos(**base, fill_count=1), PARAMS, mkt()) is None
|
||||
assert ae.eval_fill(pos(**base), PARAMS, mkt(tdays_since_open=11)) is None
|
||||
assert ae.eval_fill(pos(price=9.5, cushion_pct=-0.05, support_ref=9.0,
|
||||
market_value=57_000), PARAMS, mkt()) is None
|
||||
assert ae.eval_fill(pos(price=9.5, cushion_pct=-0.02, support_ref=9.7,
|
||||
market_value=57_000), PARAMS, mkt()) is None # 破支撑
|
||||
assert ae.eval_fill(pos(**{**base, "support_ref": None}), PARAMS, mkt()) is None
|
||||
# 已转盈就不是「回踩补足」的场景了
|
||||
assert ae.eval_fill(pos(price=10.5, cushion_pct=0.05, support_ref=9.7,
|
||||
market_value=63_000), PARAMS, mkt()) is None
|
||||
|
||||
|
||||
# ================================================================ ADD
|
||||
@case("盈利加仓·厚垫 + 创5日新高 → 按加仓批额度加")
|
||||
def _():
|
||||
c = ae.eval_add(pos(price=11.0, cushion_pct=0.10, market_value=66_000),
|
||||
PARAMS, mkt(ma5=10.6, high5=11.0))
|
||||
assert c and c["action"] == "ADD" and c["qty"] == 2700, c # 3万 ÷ 11 → 2700 股
|
||||
assert "创 5 日新高" in c["reason"], c
|
||||
# 站上压力位也算
|
||||
c2 = ae.eval_add(pos(price=11.0, cushion_pct=0.10, pressure_ref=10.9,
|
||||
market_value=66_000), PARAMS, mkt(ma5=10.6, high5=12.0))
|
||||
assert c2 and "压力位" in c2["reason"], c2
|
||||
|
||||
|
||||
@case("盈利加仓·薄垫/未突破/距上次<2日/追高 一律不提")
|
||||
def _():
|
||||
assert ae.eval_add(pos(price=11.0, cushion_pct=0.02, market_value=66_000),
|
||||
PARAMS, mkt(high5=11.0)) is None # 垫子不厚
|
||||
assert ae.eval_add(pos(price=10.5, cushion_pct=0.10, market_value=63_000),
|
||||
PARAMS, mkt(high5=12.0)) is None # 没新高没压力位
|
||||
assert ae.eval_add(pos(price=11.0, cushion_pct=0.10, market_value=66_000),
|
||||
PARAMS, mkt(high5=11.0, tdays_since_last_add=1)) is None
|
||||
assert ae.eval_add(pos(price=11.0, cushion_pct=0.10, market_value=66_000),
|
||||
PARAMS, mkt(ma5=10.0, high5=11.0)) is None # 距 MA5 10% > 6%
|
||||
|
||||
|
||||
# ================================================================ DCA
|
||||
@case("补仓·触及 -8% 首档 → 按底仓一半提, 不强制确认")
|
||||
def _():
|
||||
c = ae.eval_dca(pos(price=9.1, cushion_pct=-0.09, market_value=54_600), PARAMS, mkt())
|
||||
assert c and c["action"] == "DCA" and c["qty"] == 3000, c # 底仓 6000 × 50%
|
||||
assert c["needs_user_confirm"] is False and c["judge_required"], c
|
||||
assert c["hard_numbers"]["stage"] == 1
|
||||
|
||||
|
||||
@case("补仓·-15% 及更深 永远需用户确认 + 研判须答杀逻辑还是杀情绪")
|
||||
def _():
|
||||
c = ae.eval_dca(pos(price=8.4, cushion_pct=-0.16, market_value=50_400), PARAMS, mkt())
|
||||
assert c and c["needs_user_confirm"] is True, c
|
||||
assert c["hard_numbers"]["stage"] == 2 and "必须用户确认" in c["reason"], c
|
||||
|
||||
|
||||
@case("补仓·各档只评估一次 / 终身只执行一次 / 浮盈不评估")
|
||||
def _():
|
||||
assert ae.eval_dca(pos(cushion_pct=-0.09, dca_count=1), PARAMS, mkt()) is None
|
||||
assert ae.eval_dca(pos(cushion_pct=-0.16, dca_count=1), PARAMS, mkt()) is not None
|
||||
assert ae.eval_dca(pos(cushion_pct=-0.16, dca_count=2), PARAMS, mkt()) is None
|
||||
assert ae.eval_dca(pos(cushion_pct=-0.20, dca_qty=1000), PARAMS, mkt()) is None
|
||||
assert ae.eval_dca(pos(cushion_pct=-0.05), PARAMS, mkt()) is None
|
||||
assert ae.eval_dca(pos(cushion_pct=0.05), PARAMS, mkt()) is None
|
||||
|
||||
|
||||
# ================================================================ TRIM
|
||||
@case("保垫减仓·峰值≥6%且回吐过半 → 减 1/3, 不需研判不需确认")
|
||||
def _():
|
||||
c = ae.eval_trim(pos(cushion_peak=0.08, cushion_pct=0.04), PARAMS)
|
||||
assert c and c["action"] == "TRIM" and c["side"] == "sell", c
|
||||
assert c["qty"] == 2000, c # 6000 的 1/3
|
||||
assert not c["judge_required"] and not c["needs_user_confirm"], c
|
||||
|
||||
|
||||
@case("保垫减仓·峰值不足或回吐不到一半 不提")
|
||||
def _():
|
||||
assert ae.eval_trim(pos(cushion_peak=0.05, cushion_pct=-0.01), PARAMS) is None
|
||||
assert ae.eval_trim(pos(cushion_peak=0.08, cushion_pct=0.0401), PARAMS) is None
|
||||
assert ae.eval_trim(pos(cushion_peak=0.08, cushion_pct=None), PARAMS) is None
|
||||
assert ae.eval_trim(pos(cushion_peak=0.08, cushion_pct=0.04, total_qty=200),
|
||||
PARAMS) is None # 1/3 不足一手
|
||||
|
||||
|
||||
# ================================================================ 扫描
|
||||
@case("扫描·冻结票只评减仓 / 已在途不重复提 / 单票异常不拖垮整轮")
|
||||
def _():
|
||||
ps = [pos(ts_code="600000.SH", cushion_peak=0.08, cushion_pct=0.04,
|
||||
frozen_reason="COMMAND_HALT"),
|
||||
pos(ts_code="000001.SZ", price=11.0, cushion_pct=0.10, market_value=66_000),
|
||||
pos(ts_code="600519.SH", price=None, cushion_pct=0.10, market_value=66_000)]
|
||||
r = ae.scan(positions=ps, params=PARAMS, market={
|
||||
"600000.SH": mkt(), "000001.SZ": mkt(ma5=10.6, high5=11.0), "600519.SH": mkt()})
|
||||
acts = {(c["ts_code"], c["action"]) for c in r["candidates"]}
|
||||
assert ("600000.SH", "TRIM") in acts, acts # 冻结不挡减仓
|
||||
assert not any(c[0] == "600000.SH" and c[1] != "TRIM" for c in acts), acts
|
||||
assert ("000001.SZ", "ADD") in acts, acts
|
||||
assert any(s["why"].endswith("禁增持") for s in r["skipped"]), r["skipped"]
|
||||
|
||||
r2 = ae.scan(positions=ps, params=PARAMS,
|
||||
market={"600000.SH": mkt(), "000001.SZ": mkt(ma5=10.6, high5=11.0),
|
||||
"600519.SH": mkt()},
|
||||
skip={("000001.SZ", "ADD")})
|
||||
assert ("000001.SZ", "ADD") not in {(c["ts_code"], c["action"]) for c in r2["candidates"]}
|
||||
assert any(s.get("why") == "已有在途提议/指令" for s in r2["skipped"]), r2["skipped"]
|
||||
|
||||
# 空仓票直接跳过, 不进候选
|
||||
r3 = ae.scan(positions=[pos(ts_code="300750.SZ", total_qty=0)], params=PARAMS, market={})
|
||||
assert r3["candidates"] == []
|
||||
|
||||
|
||||
@case("扫描·批次额度与距目标空间口径")
|
||||
def _():
|
||||
p = pos(market_value=100_000)
|
||||
assert ae.batch_amount(p, PARAMS, 0) == 60_000.0 # 底仓 50%
|
||||
assert ae.batch_amount(p, PARAMS, 1) == 30_000.0 # 补足 25%
|
||||
assert ae.batch_amount(p, PARAMS, 2) == 30_000.0 # 加仓 25%
|
||||
assert ae.room_to_target(p, PARAMS) == 20_000.0
|
||||
assert ae.room_to_target(pos(market_value=130_000), PARAMS) == 0.0
|
||||
|
||||
|
||||
# ---------------------------------------------------------------- runner
|
||||
def main():
|
||||
passed, failed = 0, 0
|
||||
for name, fn in RESULTS:
|
||||
try:
|
||||
fn()
|
||||
print(f" PASS {name}")
|
||||
passed += 1
|
||||
except Exception:
|
||||
print(f" FAIL {name}")
|
||||
traceback.print_exc()
|
||||
failed += 1
|
||||
print("-" * 60)
|
||||
if failed:
|
||||
print(f"FAILED: {failed} / {passed + failed}")
|
||||
sys.exit(1)
|
||||
print(f"ALL PASS ({passed} cases)")
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
main()
|
||||
|
|
@ -298,7 +298,7 @@ class FakeRepo:
|
|||
return len(rows)
|
||||
|
||||
|
||||
def install_fakes(prices=None, positions=None, params=None):
|
||||
def install_fakes(prices=None, positions=None, params=None, high5=None):
|
||||
"""把内存桩装到各模块上, 返回 FakeRepo 实例。"""
|
||||
from app.repo import downstream_repo, pms_repo
|
||||
from app.services import industry, market, param_store, portfolio
|
||||
|
|
@ -323,6 +323,7 @@ def install_fakes(prices=None, positions=None, params=None):
|
|||
market.get_refs = lambda c, **kw: {"support": None, "pressure": None, "stop": None,
|
||||
"source": "none"}
|
||||
market.get_ma5 = lambda c: (prices or {}).get(c)
|
||||
market.get_high5 = lambda c: (high5 or prices or {}).get(c)
|
||||
market.day_snapshot = lambda c: ({} if not (prices or {}).get(c) else {
|
||||
"price": prices[c], "vwap": prices[c], "open": prices[c], "high": prices[c] * 1.02,
|
||||
"low": prices[c] * 0.98, "day_chg_from_open": 0.0, "bars": 60})
|
||||
|
|
@ -871,21 +872,160 @@ def _():
|
|||
assert executor.cancel_instruction("INS_C")["ok"] is False
|
||||
|
||||
|
||||
def _prop_fakes(**kw):
|
||||
"""自主提议用的组合: A 票厚垫创新高(可加仓), B 票垫子回吐过半(可保垫减仓)。"""
|
||||
return install_fakes(
|
||||
prices={"600000.SH": 11.0, "000001.SZ": 10.4},
|
||||
high5={"600000.SH": 11.0, "000001.SZ": 12.0}, # B 没创新高, 只该出 TRIM
|
||||
params={"PMS_TOTAL_SCALE": "2000000", **(kw.get("params") or {})},
|
||||
positions=[{"ts_code": "600000.SH", "total_qty": 6000, "avail_qty": 6000,
|
||||
"base_qty": 6000, "avg_cost": 10.0, "cushion_peak": 0.0,
|
||||
"target_pct": 0.06},
|
||||
{"ts_code": "000001.SZ", "total_qty": 6000, "avail_qty": 6000,
|
||||
"base_qty": 6000, "avg_cost": 10.0, "cushion_peak": 0.08,
|
||||
"target_pct": 0.06}])
|
||||
|
||||
|
||||
@case("自主提议·propose_only: 减持自动执行 / 增持入队 / 研判未接通即降级留痕")
|
||||
def _():
|
||||
from app.services import proposal_service as ps
|
||||
fake = _prop_fakes(params={"PMS_AUTONOMY": "propose_only"})
|
||||
r = ps.scan_and_route()
|
||||
assert r["ok"], r
|
||||
ex = {(x["ts_code"], x["action"]) for x in r["executed"]}
|
||||
qd = {(x["ts_code"], x["action"]) for x in r["queued"]}
|
||||
assert ("000001.SZ", "TRIM") in ex, r # 减持方向不设确认门槛
|
||||
assert ("600000.SH", "ADD") in qd, r # 增持入队
|
||||
assert r["degraded"] is True, r # 研判未接通 → 降级
|
||||
assert any("研判不可用" in x["why"] for x in r["queued"]), r["queued"]
|
||||
# 减持落了指令, 增持落了提议
|
||||
trim_ins = [i for i in fake.instructions.values() if i["action"] == "TRIM"]
|
||||
assert trim_ins and trim_ins[0]["side"] == "sell" and trim_ins[0]["qty"] == 2000, trim_ins
|
||||
add_prop = [p for p in fake.proposals.values() if p["action"] == "ADD"]
|
||||
assert add_prop and add_prop[0]["qty"] == 2700, add_prop
|
||||
assert add_prop[0]["hard_numbers"]["price"] == 11.0
|
||||
# 再扫一轮不重复提 (在途去重)
|
||||
r2 = ps.scan_and_route()
|
||||
assert not r2["executed"] and not r2["queued"], r2
|
||||
assert any(s.get("why") == "已有在途提议/指令" for s in r2["skipped"]), r2["skipped"]
|
||||
|
||||
|
||||
@case("自主提议·full + 研判通过: 增持直接落指令; 深档补仓仍强制确认")
|
||||
def _():
|
||||
from app.services import judge, proposal_service as ps
|
||||
orig = judge.request
|
||||
try:
|
||||
judge.request = lambda c, context=None, **kw: {"verdict": judge.PASS,
|
||||
"reason": "研判通过(桩)",
|
||||
"degraded": False, "raw": None}
|
||||
fake = _prop_fakes(params={"PMS_AUTONOMY": "full"})
|
||||
r = ps.scan_and_route()
|
||||
assert r["degraded"] is False, r
|
||||
ex = {(x["ts_code"], x["action"]) for x in r["executed"]}
|
||||
assert ("600000.SH", "ADD") in ex and ("000001.SZ", "TRIM") in ex, r
|
||||
assert not r["queued"], r
|
||||
add_ins = [i for i in fake.instructions.values() if i["action"] == "ADD"]
|
||||
assert add_ins and add_ins[0]["side"] == "buy" and add_ins[0]["qty"] == 2700, add_ins
|
||||
assert add_ins[0]["progress"]["is_command"] is False
|
||||
|
||||
# 深档补仓: 即使档位 full、研判通过, 也必须入队等用户点头
|
||||
fake2 = install_fakes(prices={"600519.SH": 8.4}, high5={"600519.SH": 9.9},
|
||||
params={"PMS_TOTAL_SCALE": "2000000", "PMS_AUTONOMY": "full"},
|
||||
positions=[{"ts_code": "600519.SH", "total_qty": 6000,
|
||||
"avail_qty": 6000, "base_qty": 6000,
|
||||
"avg_cost": 10.0, "cushion_peak": 0.0,
|
||||
"target_pct": 0.06}])
|
||||
r2 = ps.scan_and_route()
|
||||
qd = {(x["ts_code"], x["action"]) for x in r2["queued"]}
|
||||
assert ("600519.SH", "DCA") in qd, r2
|
||||
assert any("深档" in x["why"] for x in r2["queued"]), r2["queued"]
|
||||
prop = [p for p in fake2.proposals.values() if p["action"] == "DCA"][0]
|
||||
assert prop["qty"] == 3000 and prop["hard_numbers"]["stage"] == 2, prop
|
||||
finally:
|
||||
judge.request = orig
|
||||
|
||||
|
||||
@case("自主提议·研判驳回与规则闸拦截各自留痕")
|
||||
def _():
|
||||
from app.services import judge, proposal_service as ps
|
||||
orig = judge.request
|
||||
try:
|
||||
judge.request = lambda c, context=None, **kw: {"verdict": judge.REJECT,
|
||||
"reason": "形态走坏, 不宜加仓",
|
||||
"degraded": False, "raw": None}
|
||||
fake = _prop_fakes(params={"PMS_AUTONOMY": "full"})
|
||||
r = ps.scan_and_route()
|
||||
rej = {(x["ts_code"], x["action"], x["by"]) for x in r["rejected"]}
|
||||
assert ("600000.SH", "ADD", "judge") in rej, r
|
||||
assert any(x["arbiter"] == "judge" and x["verdict"] == "REJECT" for x in fake.ledger)
|
||||
assert not any(i["action"] == "ADD" for i in fake.instructions.values())
|
||||
finally:
|
||||
judge.request = orig
|
||||
|
||||
# 规则闸拦截: 全局暂停买入
|
||||
fake2 = _prop_fakes(params={"PMS_AUTONOMY": "full", "PMS_GLOBAL_BUY_HALT": "true"})
|
||||
r2 = ps.scan_and_route()
|
||||
rej2 = {(x["ts_code"], x["action"], x["by"]) for x in r2["rejected"]}
|
||||
assert ("600000.SH", "ADD", "rule") in rej2, r2
|
||||
assert any("BUY_HALT" in f for x in r2["rejected"] for f in x["failed"]), r2
|
||||
assert any(x["arbiter"] == "rule" and x["verdict"] == "REJECT" for x in fake2.ledger)
|
||||
# 减持不受暂停买入影响, 照样执行
|
||||
assert ("000001.SZ", "TRIM") in {(x["ts_code"], x["action"]) for x in r2["executed"]}, r2
|
||||
|
||||
|
||||
@case("自主提议·档位 off 与休假模式不扫描; 试算不落表")
|
||||
def _():
|
||||
from app.services import proposal_service as ps
|
||||
_prop_fakes(params={"PMS_AUTONOMY": "off"})
|
||||
r = ps.scan_and_route()
|
||||
assert r["candidates"] == 0 and any("off" in s["why"] for s in r["skipped"]), r
|
||||
|
||||
_prop_fakes(params={"PMS_AUTONOMY": "full", "PMS_GLOBAL_EXEC_HALT": "true"})
|
||||
r2 = ps.scan_and_route()
|
||||
assert any("休假" in s["why"] for s in r2["skipped"]), r2
|
||||
|
||||
fake = _prop_fakes(params={"PMS_AUTONOMY": "propose_only"})
|
||||
r3 = ps.scan_and_route(dry_run=True)
|
||||
assert (r3["executed"] or r3["queued"]) and all(
|
||||
x.get("dry_run") for x in r3["executed"] + r3["queued"]), r3
|
||||
assert not fake.instructions and not fake.proposals and not fake.ledger
|
||||
|
||||
|
||||
@case("研判闸·未配置即不可用, 动作不在研判范围则直接放行")
|
||||
def _():
|
||||
from app.services import judge
|
||||
install_fakes()
|
||||
assert judge.available() is False
|
||||
st = judge.status()
|
||||
assert st["available"] is False and "未配置" in st["reason"], st
|
||||
r = judge.request({"action": "ADD", "ts_code": "600000.SH", "qty": 100})
|
||||
assert r["verdict"] == judge.UNAVAILABLE and r["degraded"] is True, r
|
||||
r2 = judge.request({"action": "TRIM", "ts_code": "600000.SH", "qty": 100})
|
||||
assert r2["verdict"] == judge.PASS and r2["degraded"] is False, r2 # TRIM 不在研判范围
|
||||
|
||||
|
||||
@case("装配·执行相关路由与调度接线到位")
|
||||
def _():
|
||||
from app.web.main import app
|
||||
from app import scheduler as sch
|
||||
paths = {r.path for r in app.routes}
|
||||
for p in ("/api/ops/materialize", "/api/ops/exec-tick", "/api/ops/sweep-windows",
|
||||
"/api/instructions/{instruction_id}/cancel", "/api/dispatch-mode"):
|
||||
"/api/instructions/{instruction_id}/cancel", "/api/dispatch-mode",
|
||||
"/api/ops/scan-proposals"):
|
||||
assert p in paths, p
|
||||
import inspect
|
||||
src = inspect.getsource(sch.intraday_exec)
|
||||
assert "executor" in src and "run_tick" in src, "调度器未接执行器"
|
||||
assert "proposal_service" in src, "调度器未接自主提议扫描"
|
||||
|
||||
|
||||
# ---------------------------------------------------------------- runner
|
||||
def main():
|
||||
# 静音日志: 本套里有好几条用例**故意**触发异常与告警来验证「守成」行为
|
||||
# (调度守卫吞异常、外部成交告警、连续对账升级 ERROR、窗口耗尽告警),
|
||||
# 这些 ERROR 栈打在测试输出里会被误读成失败。判定标准只看断言, 不看日志。
|
||||
import logging
|
||||
logging.disable(logging.CRITICAL)
|
||||
passed, failed = 0, 0
|
||||
for name, fn in RESULTS:
|
||||
try:
|
||||
|
|
|
|||
Loading…
Reference in New Issue