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shy3130
e0cd625ef4
- 因子平台: /factors 一级页(检验/因子库/编辑器/组合/挖掘), DSL 公式因子(25 算子点选、双语字段、我的因子模板、脏公式守卫), 版本与生命周期, 自动挖掘 L1 统计筛选 - 因子↔策略四条桥: 触发器 Zap 快建因子条件信号、因子一键生成排名策略、自定义信号 AI 提示词接入因子分组、策略回测因子归因(胜/败单入场信号日因子均值, 独立 tab, 双语因子名) - 回测: 统计卡新增盈亏比(≥1 红/<1 绿), 蒙卡回撤合并为中位/95% 双值卡(自适应字号), 高级设置基础过滤与策略编辑器参数对齐(5 组区间) - 信号库独立页 /signals(原设置 tab 迁出), 持仓提醒入导航; 挖掘并入因子页第 5 tab, /mining 旧链接重定向 - 研究线配套: 因子目录 61→77(评分/矩阵双内核), stats_v2(Newey-West/BH-FDR/DSR), enriched 管道与异动/报价服务配套调整 - 文档: README 导航与特性表、features.md 因子平台章节、操作说明书 9.2、factor-platform-plan 执行状态与 §5、二开文档桥接说明; 交流与支持节改版 - 版本 0.2.2 → 0.2.3; 后端全量 1625 passed(1 例环境性跳过), 前端 build 通过
1210 lines
46 KiB
Python
1210 lines
46 KiB
Python
"""回测 API — 信号回测 + 因子回测 + 策略回测。"""
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from __future__ import annotations
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import asyncio
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import json
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import logging
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import threading
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from dataclasses import asdict
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from datetime import date, timedelta
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from typing import Literal
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from fastapi import APIRouter, HTTPException, Request
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from fastapi.responses import StreamingResponse
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from pydantic import BaseModel, Field
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from app.config import settings
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from app.services.backtest import (
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BacktestConfig,
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BacktestService,
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VectorbtUnavailable,
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)
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logger = logging.getLogger(__name__)
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router = APIRouter(prefix="/api/backtest", tags=["backtest"])
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FACTOR_DEFAULT_DAYS = 180
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STRATEGY_DEFAULT_DAYS = 365 * 3
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BACKTEST_MAX_SERVER_DAYS = 186
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FACTOR_MAX_SYMBOLS = 1000
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BACKTEST_SERVER_GUARD_MESSAGE = (
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"当前服务器内存约 1.8GB，回测区间最多支持 6 个月；"
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"更长周期容易触发 OOM，建议在 8GB 以上内存环境或本机运行。"
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)
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def _get_engine(request: Request):
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"""获取或创建 BacktestEngine (单例，PanelCache 跨请求生效)。"""
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from app.backtest.engine import BacktestEngine
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engine = getattr(request.app.state, "backtest_engine", None)
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if engine is None:
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engine = BacktestEngine(request.app.state.repo)
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request.app.state.backtest_engine = engine
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return engine
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def _resolve_start(req: BaseModel, end: date, default_days: int) -> date:
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"""未传 start 使用默认区间；显式传 null/空值表示全部历史。"""
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start = getattr(req, "start")
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if start is not None:
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return start
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if "start" in req.model_fields_set:
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return date(1900, 1, 1)
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return end - timedelta(days=default_days)
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def _guard_server_backtest_range(start: date, end: date):
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if not settings.backtest_range_guard:
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return
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days = (end - start).days + 1
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if days > BACKTEST_MAX_SERVER_DAYS:
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raise HTTPException(status_code=400, detail=BACKTEST_SERVER_GUARD_MESSAGE)
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# ================================================================
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# 状态
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# ================================================================
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@router.get("/status")
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def status():
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"""前端可用此接口判断回测页是否要灰显。"""
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return {"available": True}
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# ================================================================
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# 信号回测 (现有接口，保持不变)
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# ================================================================
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class BacktestRequest(BaseModel):
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symbols: list[str] = Field(..., min_length=1)
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start: date | None = None
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end: date | None = None
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entries: list[str] = []
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exits: list[str] = []
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stop_loss_pct: float | None = None
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max_hold_days: int | None = None
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fees_pct: float = 0.0002
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slippage_bps: float = 5
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matching: Literal["close_t", "open_t+1"] = "close_t"
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asset_type: str = "stock"
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@router.post("/run")
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def run(req: BacktestRequest, request: Request):
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"""信号回测 — 现有接口，向后兼容。"""
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repo = request.app.state.repo
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svc = BacktestService(repo)
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end = req.end or date.today()
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start = req.start or (end - timedelta(days=365 * 3))
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cfg = BacktestConfig(
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symbols=req.symbols,
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start=start,
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end=end,
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entries=req.entries,
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exits=req.exits,
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stop_loss_pct=req.stop_loss_pct,
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max_hold_days=req.max_hold_days,
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fees_pct=req.fees_pct,
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slippage_bps=req.slippage_bps,
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matching=req.matching,
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asset_type=req.asset_type,
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)
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try:
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result = svc.run(cfg)
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except VectorbtUnavailable as e:
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raise HTTPException(status_code=503, detail=str(e)) from e
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return asdict(result)
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# ================================================================
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# 因子回测
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# ================================================================
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class FactorColumnsResponse(BaseModel):
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columns: list[dict]
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@router.get("/factor/columns")
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def factor_columns():
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"""返回可用的因子列列表 (含运行期注册的自定义/复合因子)。"""
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from app.factors.registry import factor_columns_view
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return {"columns": factor_columns_view()}
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class FactorBacktestRequest(BaseModel):
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factor_name: str = Field(..., min_length=1, max_length=64)
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symbols: list[str] | None = None
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start: date | None = None
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end: date | None = None
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n_groups: int = Field(5, ge=2, le=10)
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rebalance: Literal["daily", "weekly", "monthly"] = "monthly"
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weight: Literal["equal", "factor_weight"] = "equal"
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fees_pct: float = 0.0002
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slippage_bps: float = 5.0
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asset_type: str = "stock"
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@router.post("/factor/run")
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def factor_run(req: FactorBacktestRequest, request: Request):
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"""因子回测 — IC/IR 分析 + 分层回测。"""
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from app.backtest.factor import FactorBacktestService, FactorConfig
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from app.factors.registry import factor_columns_view
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if req.factor_name not in {item["id"] for item in factor_columns_view()}:
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raise HTTPException(status_code=400, detail=f"不支持的因子: {req.factor_name}")
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engine = _get_engine(request)
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svc = FactorBacktestService(engine)
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end = req.end or date.today()
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start = _resolve_start(req, end, FACTOR_DEFAULT_DAYS)
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_guard_server_backtest_range(start, end)
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symbols = req.symbols if req.symbols else None
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if symbols is not None and len(symbols) > FACTOR_MAX_SYMBOLS:
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raise HTTPException(
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status_code=400,
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detail=f"指定标的最多支持 {FACTOR_MAX_SYMBOLS} 只，请缩小标的范围。",
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)
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cfg = FactorConfig(
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factor_name=req.factor_name,
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symbols=symbols,
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start=start,
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end=end,
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n_groups=req.n_groups,
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rebalance=req.rebalance,
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weight=req.weight,
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fees_pct=req.fees_pct,
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slippage_bps=req.slippage_bps,
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asset_type=req.asset_type,
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)
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result = svc.run(cfg)
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return asdict(result)
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class FactorBatchRequest(BaseModel):
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factor_names: list[str] = Field(..., min_length=1, max_length=96) # 目录 77 + 自定义余量
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symbols: list[str] | None = None
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start: date | None = None
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end: date | None = None
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n_groups: int = Field(5, ge=2, le=10)
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rebalance: Literal["daily", "weekly", "monthly"] = "monthly"
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weight: Literal["equal", "factor_weight"] = "equal"
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fees_pct: float = 0.0002
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slippage_bps: float = 5.0
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asset_type: str = "stock"
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@router.post("/factor/batch")
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def factor_batch(req: FactorBatchRequest, request: Request):
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"""批量筛选因子, 同一批次只加载并计算一次数据面板。"""
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from app.backtest.factor import (
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FactorBacktestService,
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FactorBatchConfig,
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)
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from app.factors.registry import factor_columns_view
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factor_names = list(dict.fromkeys(req.factor_names))
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allowed = {item["id"] for item in factor_columns_view()}
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invalid = [name for name in factor_names if name not in allowed]
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if invalid:
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raise HTTPException(status_code=400, detail=f"不支持的因子: {', '.join(invalid)}")
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end = req.end or date.today()
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start = _resolve_start(req, end, FACTOR_DEFAULT_DAYS)
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_guard_server_backtest_range(start, end)
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symbols = req.symbols if req.symbols else None
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if symbols is not None and len(symbols) > FACTOR_MAX_SYMBOLS:
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raise HTTPException(
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status_code=400,
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detail=f"指定标的最多支持 {FACTOR_MAX_SYMBOLS} 只, 请缩小标的范围。",
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)
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svc = FactorBacktestService(_get_engine(request))
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result = svc.run_batch(FactorBatchConfig(
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factor_names=factor_names,
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symbols=symbols,
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start=start,
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end=end,
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n_groups=req.n_groups,
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rebalance=req.rebalance,
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weight=req.weight,
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fees_pct=req.fees_pct,
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slippage_bps=req.slippage_bps,
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asset_type=req.asset_type,
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))
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return asdict(result)
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# ================================================================
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# 研究候选方案
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# ================================================================
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class CandidateCreateRequest(BaseModel):
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kind: Literal["factor", "strategy"]
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name: str = Field(..., min_length=1, max_length=80)
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source_id: str = Field(..., min_length=1, max_length=120)
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config: dict = Field(default_factory=dict)
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metrics: dict = Field(default_factory=dict)
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data_as_of: date | None = None
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status: Literal["pending", "validated", "rejected"] = "pending"
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class CandidateUpdateRequest(BaseModel):
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name: str | None = Field(None, min_length=1, max_length=80)
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status: Literal["pending", "validated", "rejected"] | None = None
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def _candidate_store():
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from app.backtest.candidates import CandidateStore
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return CandidateStore(settings.data_dir)
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def _raise_candidate_error(exc: Exception) -> None:
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from app.backtest.candidates import CandidateValidationError
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status_code = 400 if isinstance(exc, CandidateValidationError) else 500
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raise HTTPException(status_code=status_code, detail=str(exc)) from exc
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@router.get("/candidates")
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def candidates_list():
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try:
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return {"items": _candidate_store().list()}
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except Exception as exc:
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_raise_candidate_error(exc)
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@router.post("/candidates")
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def candidate_create(req: CandidateCreateRequest):
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try:
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return _candidate_store().create(
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kind=req.kind,
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name=req.name,
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source_id=req.source_id,
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config=req.config,
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metrics=req.metrics,
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data_as_of=req.data_as_of.isoformat() if req.data_as_of else None,
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status=req.status,
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)
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except Exception as exc:
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_raise_candidate_error(exc)
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@router.patch("/candidates/{candidate_id}")
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def candidate_update(candidate_id: str, req: CandidateUpdateRequest):
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if req.name is None and req.status is None:
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raise HTTPException(status_code=400, detail="至少提供一个需要更新的字段")
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try:
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return _candidate_store().update(candidate_id, name=req.name, status=req.status)
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except KeyError as exc:
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raise HTTPException(status_code=404, detail="候选方案不存在") from exc
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except Exception as exc:
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_raise_candidate_error(exc)
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@router.delete("/candidates/{candidate_id}")
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def candidate_delete(candidate_id: str):
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try:
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_candidate_store().delete(candidate_id)
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return {"ok": True}
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except KeyError as exc:
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raise HTTPException(status_code=404, detail="候选方案不存在") from exc
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except Exception as exc:
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_raise_candidate_error(exc)
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# ================================================================
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# 策略回测
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# ================================================================
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class StrategyBacktestRequest(BaseModel):
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strategy_id: str
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symbols: list[str] | None = None
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start: date | None = None
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end: date | None = None
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params: dict | None = None
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overrides: dict | None = None
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# matching 向后兼容; 显式传 entry_fill/exit_fill 时以二者为准。
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matching: Literal["close_t", "open_t+1"] = "open_t+1"
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entry_fill: Literal["close_t", "open_t+1"] | None = None
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exit_fill: Literal["close_t", "open_t+1", "signal_next_minute"] | None = None
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fees_pct: float = 0.0002
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commission_pct: float | None = None
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stamp_tax_pct: float | None = None
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slippage_bps: float = 5.0
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max_positions: int = 10
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max_exposure_pct: float = 1.0
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initial_capital: float = 1_000_000.0
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position_sizing: Literal["equal", "score_weight"] = "equal"
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mode: Literal["position", "full"] = "position"
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holding_days: int = 5
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asset_type: str = "stock"
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minute_fill: bool = False
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regime_filter: dict | None = None
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def _guard_minute_strategy_backtest(
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request: Request, strategy_id: str, start: date, asset_type: str,
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) -> None:
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"""分钟策略回测入口守卫: 仅 A 股 + 本地分钟K覆盖检查 (fail-fast)。"""
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engine = getattr(request.app.state, "strategy_engine", None)
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if engine is None:
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return
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try:
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s = engine.get(strategy_id)
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except ValueError:
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return
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if s is None or s.execution_backend != "minute_filter":
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return
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if asset_type != "stock":
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raise HTTPException(400, detail="分钟策略回测当前仅支持 A 股 (stock)")
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earliest = request.app.state.repo.earliest_minute_date()
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if earliest is None or start < earliest:
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have = f"最早到 {earliest}, " if earliest else ""
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raise HTTPException(
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400,
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detail=(
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f"本地分钟K{have}无法覆盖回测起始日 {start}。"
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"请先用「扩展分钟K历史」拉取更多数据, 或缩小回测区间"
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),
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)
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@router.post("/strategy/run")
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def strategy_run(req: StrategyBacktestRequest, request: Request):
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"""策略回测 — 复用 StrategyDef 体系做全周期回测。"""
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from app.backtest.strategy import StrategyBacktestConfig
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from app.backtest.worker import make_worker_task, run_worker_task
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end = req.end or date.today()
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start = _resolve_start(req, end, FACTOR_DEFAULT_DAYS)
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_guard_server_backtest_range(start, end)
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_guard_minute_strategy_backtest(request, req.strategy_id, start, req.asset_type)
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cfg = StrategyBacktestConfig(
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strategy_id=req.strategy_id,
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symbols=req.symbols if req.symbols else None,
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start=start,
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end=end,
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params=req.params,
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overrides=req.overrides,
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matching=req.matching,
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entry_fill=req.entry_fill,
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exit_fill=req.exit_fill,
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fees_pct=req.fees_pct,
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commission_pct=req.commission_pct,
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stamp_tax_pct=req.stamp_tax_pct,
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slippage_bps=req.slippage_bps,
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max_positions=req.max_positions,
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max_exposure_pct=req.max_exposure_pct,
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initial_capital=req.initial_capital,
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position_sizing=req.position_sizing,
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mode=req.mode,
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holding_days=req.holding_days,
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asset_type=req.asset_type,
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minute_fill=req.minute_fill,
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regime_filter=req.regime_filter,
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)
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task = make_worker_task("backtest", settings.data_dir, cfg)
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from app.services.heavy_job_limiter import shared_heavy_job_limiter
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with shared_heavy_job_limiter.slot("normal"):
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return run_worker_task(task)
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# ── SSE 流式回测 (实时进度 + 可取消 + 支持重连) ───────────────────
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import time
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import hashlib
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class _BacktestJob:
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"""单个回测任务的状态, 存模块级供重连使用。"""
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__slots__ = ("key", "cancel_event", "progress", "result", "error", "done", "finish_ts")
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def __init__(self, key: str):
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self.key = key
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self.cancel_event = threading.Event()
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self.progress: list[dict] = [] # 进度历史 (新连接可回放)
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self.result = None # 完成后的结果
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self.error: str | None = None
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self.done = False
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self.finish_ts: float = 0.0
|
|
|
|
|
|
# 模块级任务表: key -> _BacktestJob
|
|
_running_jobs: dict[str, _BacktestJob] = {}
|
|
_jobs_lock = threading.Lock()
|
|
_JOB_TTL = 300 # 完成后保留 5 分钟
|
|
|
|
|
|
def _cleanup_stale_jobs():
|
|
"""清理过期任务 (完成超过 TTL 的)。全程持 _jobs_lock: 迭代+pop 与其他访问互斥。"""
|
|
now = time.time()
|
|
with _jobs_lock:
|
|
stale = [k for k, j in _running_jobs.items() if j.done and now - j.finish_ts > _JOB_TTL]
|
|
for k in stale:
|
|
_running_jobs.pop(k, None)
|
|
|
|
|
|
def _finish_job(job: _BacktestJob, *, result=None, error: str | None = None) -> None:
|
|
"""Publish the terminal state and proactively drop the reconnect entry after TTL."""
|
|
finished_at = time.time()
|
|
with _jobs_lock:
|
|
job.result = result
|
|
job.error = error
|
|
job.done = True
|
|
job.finish_ts = finished_at
|
|
|
|
def _expire() -> None:
|
|
with _jobs_lock:
|
|
current = _running_jobs.get(job.key)
|
|
if current is job and current.done and current.finish_ts == finished_at:
|
|
_running_jobs.pop(job.key, None)
|
|
|
|
timer = threading.Timer(_JOB_TTL, _expire)
|
|
timer.daemon = True
|
|
timer.start()
|
|
|
|
|
|
def _make_job_key(
|
|
strategy_id: str, symbols: str | None, start: str | None, end: str | None,
|
|
matching: str, entry_fill: str | None, exit_fill: str | None,
|
|
fees_pct: float, slippage_bps: float,
|
|
max_positions: int, max_exposure_pct: float, initial_capital: float, position_sizing: str,
|
|
params: str | None, overrides: str | None,
|
|
mode: str = "position", holding_days: int = 5,
|
|
commission_pct: float | None = None, stamp_tax_pct: float | None = None,
|
|
asset_type: str = "stock",
|
|
minute_fill: bool = False,
|
|
regime_filter: str | None = None,
|
|
) -> str:
|
|
raw = f"{strategy_id}|{symbols}|{start}|{end}|{matching}|{entry_fill}|{exit_fill}|{fees_pct}|{slippage_bps}|{max_positions}|{max_exposure_pct}|{initial_capital}|{position_sizing}|{params}|{overrides}|{mode}|{holding_days}|{commission_pct}|{stamp_tax_pct}|{asset_type}|{minute_fill}|{regime_filter}"
|
|
return hashlib.md5(raw.encode()).hexdigest()[:12]
|
|
|
|
|
|
@router.get("/strategy/stream")
|
|
async def strategy_stream(
|
|
request: Request,
|
|
strategy_id: str,
|
|
symbols: str | None = None,
|
|
start: str | None = None,
|
|
end: str | None = None,
|
|
matching: str = "open_t+1",
|
|
entry_fill: str | None = None,
|
|
exit_fill: str | None = None,
|
|
fees_pct: float = 0.0002,
|
|
commission_pct: float | None = None,
|
|
stamp_tax_pct: float | None = None,
|
|
slippage_bps: float = 5.0,
|
|
max_positions: int = 10,
|
|
max_exposure_pct: float = 1.0,
|
|
initial_capital: float = 1_000_000.0,
|
|
position_sizing: str = "equal",
|
|
params: str | None = None,
|
|
overrides: str | None = None,
|
|
mode: str = "position",
|
|
holding_days: int = 5,
|
|
asset_type: str = "stock",
|
|
minute_fill: bool = False,
|
|
regime_filter: str | None = None,
|
|
):
|
|
"""SSE 流式策略回测: 实时推送进度, 完成后推送结果, 支持重连 (刷新/切页后恢复)。
|
|
|
|
- 相同参数的任务只启动一次, 多次连接订阅同一个任务
|
|
- 断开连接不会取消任务 (除非显式调用 cancel)
|
|
- 结果保留 5 分钟供重连
|
|
|
|
事件类型:
|
|
- progress: {day, total, date, equity}
|
|
- done: {result} (完整回测结果)
|
|
- error: {message}
|
|
"""
|
|
from app.backtest.strategy import StrategyBacktestConfig
|
|
from app.backtest.worker import make_worker_task, run_worker_task
|
|
|
|
end_date = date.fromisoformat(end) if end else date.today()
|
|
if start:
|
|
start_date = date.fromisoformat(start)
|
|
else:
|
|
# 空 start = 全部历史: 用本地最早日K日期, 查不到再回退到默认窗口
|
|
earliest = request.app.state.repo.earliest_daily_date()
|
|
start_date = earliest or (end_date - timedelta(days=FACTOR_DEFAULT_DAYS))
|
|
_guard_minute_strategy_backtest(request, strategy_id, start_date, asset_type)
|
|
|
|
# 服务端范围保护
|
|
guard_violated = False
|
|
if settings.backtest_range_guard:
|
|
days = (end_date - start_date).days + 1
|
|
if days > BACKTEST_MAX_SERVER_DAYS:
|
|
guard_violated = True
|
|
|
|
job_key = _make_job_key(
|
|
strategy_id, symbols, start, end,
|
|
matching, entry_fill, exit_fill,
|
|
fees_pct, slippage_bps, max_positions, max_exposure_pct, initial_capital, position_sizing,
|
|
params, overrides,
|
|
mode, holding_days,
|
|
commission_pct, stamp_tax_pct,
|
|
asset_type=asset_type,
|
|
minute_fill=minute_fill,
|
|
regime_filter=regime_filter,
|
|
)
|
|
|
|
_cleanup_stale_jobs()
|
|
|
|
# 获取或创建任务
|
|
with _jobs_lock:
|
|
job = _running_jobs.get(job_key)
|
|
if job is None:
|
|
job = _BacktestJob(job_key)
|
|
_running_jobs[job_key] = job
|
|
is_new = True
|
|
else:
|
|
is_new = False
|
|
|
|
async def event_generator():
|
|
# 范围保护: 直接报错
|
|
if guard_violated:
|
|
yield f"event: error\ndata: {json.dumps({'message': BACKTEST_SERVER_GUARD_MESSAGE}, ensure_ascii=False)}\n\n"
|
|
return
|
|
|
|
# 分钟K精确回测: Pro+ 门控 + 数据范围检查
|
|
if minute_fill:
|
|
capset = request.app.state.capabilities
|
|
from app.tickflow.capabilities import Cap
|
|
if not capset.has(Cap.KLINE_MINUTE_BATCH):
|
|
yield f"event: error\ndata: {json.dumps({'message': '分钟K精确回测需要 Pro+ 权限 (kline.minute.batch)'}, ensure_ascii=False)}\n\n"
|
|
return
|
|
# 检查本地分钟K历史是否覆盖回测区间
|
|
repo = request.app.state.repo
|
|
earliest_minute = repo.earliest_minute_date() if hasattr(repo, "earliest_minute_date") else None
|
|
if earliest_minute is not None and start_date < earliest_minute:
|
|
msg = (f"本地分钟K历史最早到 {earliest_minute}, 无法覆盖回测起始日 {start_date}。"
|
|
f"请先用「扩展分钟K历史」功能拉取更多数据, 或缩小回测区间。")
|
|
yield f"event: error\ndata: {json.dumps({'message': msg}, ensure_ascii=False)}\n\n"
|
|
return
|
|
|
|
# 如果是新任务, 启动回测线程
|
|
if is_new and not job.done:
|
|
cfg = StrategyBacktestConfig(
|
|
strategy_id=strategy_id,
|
|
symbols=[s.strip() for s in symbols.split(",") if s.strip()] if symbols else None,
|
|
start=start_date,
|
|
end=end_date,
|
|
params=json.loads(params) if params else None,
|
|
overrides=json.loads(overrides) if overrides else None,
|
|
matching=matching,
|
|
entry_fill=entry_fill,
|
|
exit_fill=exit_fill,
|
|
fees_pct=fees_pct,
|
|
commission_pct=commission_pct,
|
|
stamp_tax_pct=stamp_tax_pct,
|
|
slippage_bps=slippage_bps,
|
|
max_positions=int(max_positions),
|
|
max_exposure_pct=float(max_exposure_pct),
|
|
initial_capital=float(initial_capital),
|
|
position_sizing=position_sizing,
|
|
mode=mode,
|
|
holding_days=int(holding_days),
|
|
asset_type=asset_type,
|
|
minute_fill=minute_fill,
|
|
regime_filter=json.loads(regime_filter) if regime_filter else None,
|
|
)
|
|
|
|
def _run_backtest():
|
|
from app.services.heavy_job_limiter import (
|
|
HeavyJobCancelledError,
|
|
shared_heavy_job_limiter,
|
|
)
|
|
|
|
try:
|
|
with shared_heavy_job_limiter.slot(
|
|
"normal",
|
|
cancel_event=job.cancel_event,
|
|
):
|
|
task = make_worker_task("backtest", settings.data_dir, cfg)
|
|
result = run_worker_task(
|
|
task,
|
|
lambda d: job.progress.append(d),
|
|
job.cancel_event,
|
|
)
|
|
_finish_job(job, result=result)
|
|
except HeavyJobCancelledError:
|
|
_finish_job(job, error="回测已取消")
|
|
except Exception as e:
|
|
_finish_job(job, error=str(e))
|
|
|
|
# 启动后台线程 (不阻塞事件循环)
|
|
threading.Thread(target=_run_backtest, daemon=True).start()
|
|
|
|
# 订阅进度: 用读指针读 job.progress 列表 (多连接互不干扰)
|
|
cursor = 0
|
|
tick = 0
|
|
|
|
try:
|
|
while True:
|
|
# 已完成: 推送最终结果/错误并退出
|
|
if job.done:
|
|
if job.error:
|
|
yield f"event: error\ndata: {json.dumps({'message': job.error}, ensure_ascii=False)}\n\n"
|
|
elif job.result is not None:
|
|
r = job.result
|
|
error = r.get("error") if isinstance(r, dict) else getattr(r, "error", None)
|
|
if error == "cancelled":
|
|
yield f"event: error\ndata: {json.dumps({'message': '回测已取消'}, ensure_ascii=False)}\n\n"
|
|
elif error:
|
|
yield f"event: error\ndata: {json.dumps({'message': error}, ensure_ascii=False)}\n\n"
|
|
else:
|
|
payload = r if isinstance(r, dict) else asdict(r)
|
|
yield f"event: done\ndata: {json.dumps(payload, ensure_ascii=False, default=str)}\n\n"
|
|
return
|
|
|
|
# 断开检测: 每 4 轮检查一次 (降低 GIL 抢占频率)
|
|
tick += 1
|
|
if tick % 4 == 0 and await request.is_disconnected():
|
|
break
|
|
|
|
# 推送新进度 (从 cursor 开始读)
|
|
prog_list = job.progress
|
|
while cursor < len(prog_list):
|
|
msg = prog_list[cursor]
|
|
cursor += 1
|
|
yield f"event: progress\ndata: {json.dumps(msg, ensure_ascii=False, default=str)}\n\n"
|
|
|
|
await asyncio.sleep(0.5)
|
|
|
|
except asyncio.CancelledError:
|
|
raise
|
|
|
|
return StreamingResponse(event_generator(), media_type="text/event-stream")
|
|
|
|
|
|
@router.post("/strategy/cancel")
|
|
async def strategy_cancel(request: Request):
|
|
"""取消正在运行的回测任务 (前端传 query string, 后端算 job_key)。"""
|
|
body = await request.json()
|
|
qs = body.get("qs", "")
|
|
# 解析 qs 得到参数
|
|
from urllib.parse import parse_qs
|
|
p = parse_qs(qs)
|
|
def _get(key: str, default: str = "") -> str:
|
|
return p.get(key, [default])[0]
|
|
def _get_opt_float(key: str) -> float | None:
|
|
# 可选成本参数: 缺省或空串 → None (与 stream 侧 float | None 口径一致, 保证 job_key 对齐)。
|
|
v = _get(key)
|
|
return float(v) if v else None
|
|
job_key = _make_job_key(
|
|
_get("strategy_id"),
|
|
_get("symbols") or None,
|
|
_get("start") or None,
|
|
_get("end") or None,
|
|
_get("matching", "open_t+1"),
|
|
_get("entry_fill") or None,
|
|
_get("exit_fill") or None,
|
|
float(_get("fees_pct", "0.0002")),
|
|
float(_get("slippage_bps", "5")),
|
|
int(_get("max_positions", "10")),
|
|
float(_get("max_exposure_pct", "1")),
|
|
float(_get("initial_capital", "1000000")),
|
|
_get("position_sizing", "equal"),
|
|
_get("params") or None,
|
|
_get("overrides") or None,
|
|
_get("mode", "position"),
|
|
int(_get("holding_days", "5")),
|
|
commission_pct=_get_opt_float("commission_pct"),
|
|
stamp_tax_pct=_get_opt_float("stamp_tax_pct"),
|
|
asset_type=_get("asset_type", "stock"),
|
|
)
|
|
# 持锁读任务表: 与 _cleanup_stale_jobs 的 pop、stream 的写入互斥
|
|
with _jobs_lock:
|
|
job = _running_jobs.get(job_key)
|
|
if job and not job.done:
|
|
job.cancel_event.set()
|
|
return {"ok": True}
|
|
return {"ok": False, "message": "任务不存在或已完成"}
|
|
|
|
|
|
# ══════════════════════════════════════════════════════════════
|
|
# 参数网格优化器 — 复用 _BacktestJob SSE 框架 (多组参数并行回测 + 排序)
|
|
# ══════════════════════════════════════════════════════════════
|
|
|
|
def _json_safe(obj):
|
|
"""递归把 nan/inf 置 None —— json.dumps(default=str) 处理不了它们, 会输出非法 JSON
|
|
字面量 NaN/Infinity 让前端 JSON.parse 崩。优化器/WF 结果嵌套深 (逐组/逐折的
|
|
sortino 等零波动场景可能算出 nan), 序列化前统一清洗。"""
|
|
import math
|
|
if isinstance(obj, float):
|
|
return obj if math.isfinite(obj) else None
|
|
if isinstance(obj, dict):
|
|
return {k: _json_safe(v) for k, v in obj.items()}
|
|
if isinstance(obj, list):
|
|
return [_json_safe(v) for v in obj]
|
|
return obj
|
|
|
|
|
|
# 透传给每组回测的 StrategyBacktestConfig 字段 (作为 backtest_kwargs)。
|
|
_OPT_BT_FIELDS = [
|
|
"matching", "fees_pct", "commission_pct", "stamp_tax_pct", "slippage_bps",
|
|
"max_positions", "max_exposure_pct", "initial_capital", "position_sizing",
|
|
"mode", "holding_days",
|
|
]
|
|
|
|
|
|
def _make_opt_job_key(
|
|
strategy_id,
|
|
symbols,
|
|
start,
|
|
end,
|
|
param_grid,
|
|
objective,
|
|
direction,
|
|
bt_sig,
|
|
params=None,
|
|
overrides=None,
|
|
matrix_cache_max_mb=512,
|
|
) -> str:
|
|
raw = (
|
|
f"OPT|{strategy_id}|{symbols}|{start}|{end}|{param_grid}|{objective}|"
|
|
f"{direction}|{bt_sig}|{params}|{overrides}|cache={matrix_cache_max_mb}"
|
|
)
|
|
return hashlib.md5(raw.encode()).hexdigest()[:12]
|
|
|
|
|
|
def _opt_backtest_kwargs(
|
|
matching, fees_pct, commission_pct, stamp_tax_pct, slippage_bps,
|
|
max_positions, max_exposure_pct, initial_capital, position_sizing, mode, holding_days,
|
|
) -> dict:
|
|
return {
|
|
"matching": matching,
|
|
"fees_pct": fees_pct,
|
|
"commission_pct": commission_pct,
|
|
"stamp_tax_pct": stamp_tax_pct,
|
|
"slippage_bps": slippage_bps,
|
|
"max_positions": int(max_positions),
|
|
"max_exposure_pct": float(max_exposure_pct),
|
|
"initial_capital": float(initial_capital),
|
|
"position_sizing": position_sizing,
|
|
"mode": mode,
|
|
"holding_days": int(holding_days),
|
|
}
|
|
|
|
|
|
@router.get("/optimize/stream")
|
|
async def optimize_stream(
|
|
request: Request,
|
|
strategy_id: str,
|
|
param_grid: str, # JSON: {param_id: [values] | {min,max,step}}
|
|
objective: str = "sortino",
|
|
direction: str | None = None,
|
|
max_workers: int = 4,
|
|
matrix_cache_max_mb: int = 512,
|
|
params: str | None = None, # JSON: 未扫描参数固定为用户当前值 (base_params)
|
|
overrides: str | None = None, # JSON: 策略当前的 basic_filter/signals/风控等覆盖
|
|
symbols: str | None = None,
|
|
start: str | None = None,
|
|
end: str | None = None,
|
|
matching: str = "open_t+1",
|
|
fees_pct: float = 0.0002,
|
|
commission_pct: float | None = None,
|
|
stamp_tax_pct: float | None = None,
|
|
slippage_bps: float = 5.0,
|
|
max_positions: int = 10,
|
|
max_exposure_pct: float = 1.0,
|
|
initial_capital: float = 1_000_000.0,
|
|
position_sizing: str = "equal",
|
|
mode: str = "position",
|
|
holding_days: int = 5,
|
|
):
|
|
"""SSE 流式参数优化: 并行跑各参数组回测, 按 objective 排序。
|
|
|
|
事件类型:
|
|
- progress: {type: "optimizer_progress", done, total, best_score}
|
|
- done: {result} (含 best_params / results 排名)
|
|
- error: {message}
|
|
"""
|
|
from app.backtest.optimizer import OptimizeConfig
|
|
from app.backtest.worker import make_worker_task, run_worker_task
|
|
|
|
end_date = date.fromisoformat(end) if end else date.today()
|
|
if start:
|
|
start_date = date.fromisoformat(start)
|
|
else:
|
|
earliest = request.app.state.repo.earliest_daily_date()
|
|
start_date = earliest or (end_date - timedelta(days=FACTOR_DEFAULT_DAYS))
|
|
|
|
guard_violated = False
|
|
if settings.backtest_range_guard and (end_date - start_date).days + 1 > BACKTEST_MAX_SERVER_DAYS:
|
|
guard_violated = True
|
|
|
|
# 空串归一为 None, 与 cancel 侧 `_get("direction") or None` 口径一致, 避免 job_key 失配。
|
|
direction = direction or None
|
|
bt_kwargs = _opt_backtest_kwargs(
|
|
matching, fees_pct, commission_pct, stamp_tax_pct, slippage_bps,
|
|
max_positions, max_exposure_pct, initial_capital, position_sizing, mode, holding_days,
|
|
)
|
|
bt_sig = "|".join(f"{k}={bt_kwargs[k]}" for k in _OPT_BT_FIELDS)
|
|
job_key = _make_opt_job_key(
|
|
strategy_id,
|
|
symbols,
|
|
start,
|
|
end,
|
|
param_grid,
|
|
objective,
|
|
direction,
|
|
bt_sig,
|
|
params,
|
|
overrides,
|
|
matrix_cache_max_mb,
|
|
)
|
|
|
|
_cleanup_stale_jobs()
|
|
with _jobs_lock:
|
|
job = _running_jobs.get(job_key)
|
|
if job is None:
|
|
job = _BacktestJob(job_key)
|
|
_running_jobs[job_key] = job
|
|
is_new = True
|
|
else:
|
|
is_new = False
|
|
|
|
async def event_generator():
|
|
# 首个事件回吐 job_key, 前端存下供 cancel 直接引用 (消除两侧重算契约)。
|
|
yield f"event: job\ndata: {json.dumps({'key': job_key}, ensure_ascii=False)}\n\n"
|
|
|
|
if guard_violated:
|
|
yield f"event: error\ndata: {json.dumps({'message': BACKTEST_SERVER_GUARD_MESSAGE}, ensure_ascii=False)}\n\n"
|
|
return
|
|
|
|
if is_new and not job.done:
|
|
try:
|
|
grid = json.loads(param_grid)
|
|
except (json.JSONDecodeError, TypeError):
|
|
grid = None
|
|
# grid 必须是非空 dict; null/[]/"" 等合法 JSON 但结构错误也在此拦下,
|
|
# 否则会跳过线程启动却不置 done -> event_generator 永久空转、job 挂死。
|
|
if not isinstance(grid, dict) or not grid:
|
|
_finish_job(job, error="param_grid 必须是非空的参数网格对象")
|
|
grid = None
|
|
|
|
if grid is not None:
|
|
# 未扫描参数固定为用户当前值 (base_params); overrides 让策略的 basic_filter/
|
|
# 信号/风控按用户当前配置参与, 保证优化的就是用户实际回测的策略。
|
|
try:
|
|
base_params = json.loads(params) if params else {}
|
|
except (json.JSONDecodeError, TypeError):
|
|
# 静默降级会让"用户配置丢失"变成无声 bug: 至少 warn 供诊断 (前端应传合法 JSON)。
|
|
logger.warning("optimize: params JSON 解析失败, 降级为空 params: %r", params)
|
|
base_params = {}
|
|
try:
|
|
ov = json.loads(overrides) if overrides else None
|
|
except (json.JSONDecodeError, TypeError):
|
|
logger.warning("optimize: overrides JSON 解析失败, 降级为 None: %r", overrides)
|
|
ov = None
|
|
ocfg = OptimizeConfig(
|
|
strategy_id=strategy_id,
|
|
symbols=[s.strip() for s in symbols.split(",") if s.strip()] if symbols else None,
|
|
start=start_date,
|
|
end=end_date,
|
|
param_grid=grid,
|
|
objective=objective,
|
|
direction=direction,
|
|
max_workers=int(max_workers),
|
|
matrix_cache_max_mb=int(matrix_cache_max_mb),
|
|
base_params=base_params if isinstance(base_params, dict) else {},
|
|
overrides=ov if isinstance(ov, dict) else None,
|
|
backtest_kwargs=bt_kwargs,
|
|
)
|
|
|
|
def _run_opt():
|
|
from app.services.heavy_job_limiter import (
|
|
HeavyJobCancelledError,
|
|
shared_heavy_job_limiter,
|
|
)
|
|
|
|
try:
|
|
with shared_heavy_job_limiter.slot(
|
|
"normal",
|
|
cancel_event=job.cancel_event,
|
|
):
|
|
task = make_worker_task("optimize", settings.data_dir, ocfg)
|
|
result = run_worker_task(
|
|
task,
|
|
lambda d: job.progress.append(d),
|
|
job.cancel_event,
|
|
)
|
|
_finish_job(job, result=result)
|
|
except HeavyJobCancelledError:
|
|
_finish_job(job, error="优化已取消")
|
|
except Exception as e:
|
|
_finish_job(job, error=str(e))
|
|
|
|
threading.Thread(target=_run_opt, daemon=True).start()
|
|
|
|
cursor = 0
|
|
tick = 0
|
|
try:
|
|
while True:
|
|
if job.done:
|
|
if job.error:
|
|
yield f"event: error\ndata: {json.dumps({'message': job.error}, ensure_ascii=False)}\n\n"
|
|
elif job.cancel_event.is_set():
|
|
# 取消时优化器把每组记为 cancelled 并正常返回, 需在此分流为取消提示而非"完成"。
|
|
yield f"event: error\ndata: {json.dumps({'message': '优化已取消'}, ensure_ascii=False)}\n\n"
|
|
elif job.result is not None:
|
|
yield f"event: done\ndata: {json.dumps(_json_safe(job.result), ensure_ascii=False, default=str)}\n\n"
|
|
return
|
|
tick += 1
|
|
if tick % 4 == 0 and await request.is_disconnected():
|
|
break
|
|
while cursor < len(job.progress):
|
|
msg = job.progress[cursor]
|
|
cursor += 1
|
|
yield f"event: progress\ndata: {json.dumps(msg, ensure_ascii=False, default=str)}\n\n"
|
|
await asyncio.sleep(0.5)
|
|
except asyncio.CancelledError:
|
|
raise
|
|
|
|
return StreamingResponse(event_generator(), media_type="text/event-stream")
|
|
|
|
|
|
@router.post("/optimize/cancel")
|
|
async def optimize_cancel(request: Request):
|
|
"""取消优化任务 — 前端传 stream 首事件回吐的 job_key, 后端直接查表。
|
|
|
|
不再让 cancel 侧重算 job_key: 两侧重算必须逐字段一致的脆弱契约(PR3 C1 / direction
|
|
空串失配都源于此)在此彻底消除。stream 首个 SSE 事件把后端算出的 key 回吐给前端,
|
|
cancel 原样传回即可。
|
|
"""
|
|
body = await request.json()
|
|
job_key = body.get("job_key", "")
|
|
job = _running_jobs.get(job_key)
|
|
if job and not job.done:
|
|
job.cancel_event.set()
|
|
return {"ok": True}
|
|
return {"ok": False, "message": "任务不存在或已完成"}
|
|
|
|
|
|
# ══════════════════════════════════════════════════════════════
|
|
# Walk-forward 优化 — 每折训练区间优化 + 测试区间 OOS 验证 (复用优化器 + job_key 回吐)
|
|
# ══════════════════════════════════════════════════════════════
|
|
|
|
def _make_wf_job_key(
|
|
strategy_id,
|
|
symbols,
|
|
start,
|
|
end,
|
|
param_grid,
|
|
objective,
|
|
direction,
|
|
windows,
|
|
bt_sig,
|
|
params=None,
|
|
overrides=None,
|
|
matrix_cache_max_mb=512,
|
|
) -> str:
|
|
raw = (
|
|
f"WF|{strategy_id}|{symbols}|{start}|{end}|{param_grid}|{objective}|"
|
|
f"{direction}|{windows}|{bt_sig}|{params}|{overrides}|cache={matrix_cache_max_mb}"
|
|
)
|
|
return hashlib.md5(raw.encode()).hexdigest()[:12]
|
|
|
|
|
|
@router.get("/walkforward/stream")
|
|
async def walkforward_stream(
|
|
request: Request,
|
|
strategy_id: str,
|
|
param_grid: str,
|
|
objective: str = "sortino",
|
|
direction: str | None = None,
|
|
train_days: int = 252,
|
|
test_days: int = 63,
|
|
step_days: int = 63,
|
|
max_workers: int = 4,
|
|
matrix_cache_max_mb: int = 512,
|
|
params: str | None = None, # JSON: 未扫描参数固定为用户当前值 (base_params)
|
|
overrides: str | None = None, # JSON: 策略当前的 basic_filter/signals/风控等覆盖
|
|
symbols: str | None = None,
|
|
start: str | None = None,
|
|
end: str | None = None,
|
|
matching: str = "open_t+1",
|
|
fees_pct: float = 0.0002,
|
|
commission_pct: float | None = None,
|
|
stamp_tax_pct: float | None = None,
|
|
slippage_bps: float = 5.0,
|
|
max_positions: int = 10,
|
|
max_exposure_pct: float = 1.0,
|
|
initial_capital: float = 1_000_000.0,
|
|
position_sizing: str = "equal",
|
|
mode: str = "position",
|
|
holding_days: int = 5,
|
|
):
|
|
"""SSE 流式 walk-forward: 每折训练区间网格优化 -> 测试区间 OOS 回测。
|
|
|
|
事件: job {key} / progress {type:walkforward_progress,done,total,fold} / done {result} / error {message}
|
|
"""
|
|
from app.backtest.walkforward import WalkForwardConfig
|
|
from app.backtest.worker import make_worker_task, run_worker_task
|
|
|
|
direction = direction or None
|
|
|
|
end_date = date.fromisoformat(end) if end else date.today()
|
|
if start:
|
|
start_date = date.fromisoformat(start)
|
|
else:
|
|
earliest = request.app.state.repo.earliest_daily_date()
|
|
start_date = earliest or (end_date - timedelta(days=STRATEGY_DEFAULT_DAYS))
|
|
|
|
bt_kwargs = _opt_backtest_kwargs(
|
|
matching, fees_pct, commission_pct, stamp_tax_pct, slippage_bps,
|
|
max_positions, max_exposure_pct, initial_capital, position_sizing, mode, holding_days,
|
|
)
|
|
bt_sig = "|".join(f"{k}={bt_kwargs[k]}" for k in _OPT_BT_FIELDS)
|
|
windows = f"{train_days}/{test_days}/{step_days}"
|
|
job_key = _make_wf_job_key(
|
|
strategy_id,
|
|
symbols,
|
|
start,
|
|
end,
|
|
param_grid,
|
|
objective,
|
|
direction,
|
|
windows,
|
|
bt_sig,
|
|
params,
|
|
overrides,
|
|
matrix_cache_max_mb,
|
|
)
|
|
|
|
# guard 作用于单折窗口 (每折训练/测试各是一次回测), 而非总区间 —— WF 总区间可长达数年,
|
|
# 按总区间拦会误杀; 真正的 OOM 风险在单折窗口过大。
|
|
wf_guard_violated = (
|
|
settings.backtest_range_guard
|
|
and max(int(train_days), int(test_days)) > BACKTEST_MAX_SERVER_DAYS
|
|
)
|
|
|
|
_cleanup_stale_jobs()
|
|
with _jobs_lock:
|
|
job = _running_jobs.get(job_key)
|
|
if job is None:
|
|
job = _BacktestJob(job_key)
|
|
_running_jobs[job_key] = job
|
|
is_new = True
|
|
else:
|
|
is_new = False
|
|
|
|
async def event_generator():
|
|
yield f"event: job\ndata: {json.dumps({'key': job_key}, ensure_ascii=False)}\n\n"
|
|
|
|
if wf_guard_violated:
|
|
msg = f"单折窗口最多 {BACKTEST_MAX_SERVER_DAYS} 天 (当前 train/test 更大), 请减小训练/测试窗口或在更大内存环境运行。"
|
|
yield f"event: error\ndata: {json.dumps({'message': msg}, ensure_ascii=False)}\n\n"
|
|
return
|
|
|
|
if is_new and not job.done:
|
|
try:
|
|
grid = json.loads(param_grid)
|
|
except (json.JSONDecodeError, TypeError):
|
|
grid = None
|
|
if not isinstance(grid, dict) or not grid:
|
|
job.error = "param_grid 必须是非空的参数网格对象"
|
|
job.done = True
|
|
job.finish_ts = time.time()
|
|
grid = None
|
|
|
|
if grid is not None:
|
|
try:
|
|
base_params = json.loads(params) if params else {}
|
|
except (json.JSONDecodeError, TypeError):
|
|
# 静默降级会让"用户配置丢失"变成无声 bug: 至少 warn 供诊断 (前端应传合法 JSON)。
|
|
logger.warning("walkforward: params JSON 解析失败, 降级为空 params: %r", params)
|
|
base_params = {}
|
|
try:
|
|
ov = json.loads(overrides) if overrides else None
|
|
except (json.JSONDecodeError, TypeError):
|
|
logger.warning("walkforward: overrides JSON 解析失败, 降级为 None: %r", overrides)
|
|
ov = None
|
|
wf_cfg = WalkForwardConfig(
|
|
strategy_id=strategy_id,
|
|
symbols=[s.strip() for s in symbols.split(",") if s.strip()] if symbols else None,
|
|
start=start_date,
|
|
end=end_date,
|
|
param_grid=grid,
|
|
objective=objective,
|
|
direction=direction,
|
|
train_days=int(train_days),
|
|
test_days=int(test_days),
|
|
step_days=int(step_days),
|
|
max_workers=int(max_workers),
|
|
base_params=base_params if isinstance(base_params, dict) else {},
|
|
overrides=ov if isinstance(ov, dict) else None,
|
|
backtest_kwargs=bt_kwargs,
|
|
matrix_cache_max_mb=int(matrix_cache_max_mb),
|
|
)
|
|
|
|
def _run_wf():
|
|
from app.services.heavy_job_limiter import (
|
|
HeavyJobCancelledError,
|
|
shared_heavy_job_limiter,
|
|
)
|
|
|
|
try:
|
|
with shared_heavy_job_limiter.slot(
|
|
"normal",
|
|
cancel_event=job.cancel_event,
|
|
):
|
|
task = make_worker_task("walkforward", settings.data_dir, wf_cfg)
|
|
result = run_worker_task(
|
|
task,
|
|
lambda d: job.progress.append(d),
|
|
job.cancel_event,
|
|
)
|
|
_finish_job(job, result=result)
|
|
except HeavyJobCancelledError:
|
|
_finish_job(job, error="walk-forward 已取消")
|
|
except Exception as e:
|
|
_finish_job(job, error=str(e))
|
|
|
|
threading.Thread(target=_run_wf, daemon=True).start()
|
|
|
|
cursor = 0
|
|
tick = 0
|
|
try:
|
|
while True:
|
|
if job.done:
|
|
if job.error:
|
|
yield f"event: error\ndata: {json.dumps({'message': job.error}, ensure_ascii=False)}\n\n"
|
|
elif job.cancel_event.is_set():
|
|
yield f"event: error\ndata: {json.dumps({'message': 'walk-forward 已取消'}, ensure_ascii=False)}\n\n"
|
|
elif job.result is not None:
|
|
yield f"event: done\ndata: {json.dumps(_json_safe(job.result), ensure_ascii=False, default=str)}\n\n"
|
|
return
|
|
tick += 1
|
|
if tick % 4 == 0 and await request.is_disconnected():
|
|
break
|
|
while cursor < len(job.progress):
|
|
msg = job.progress[cursor]
|
|
cursor += 1
|
|
yield f"event: progress\ndata: {json.dumps(msg, ensure_ascii=False, default=str)}\n\n"
|
|
await asyncio.sleep(0.5)
|
|
except asyncio.CancelledError:
|
|
raise
|
|
|
|
return StreamingResponse(event_generator(), media_type="text/event-stream")
|
|
|
|
|
|
@router.post("/walkforward/cancel")
|
|
async def walkforward_cancel(request: Request):
|
|
"""取消 walk-forward 任务 — 传 stream 首事件回吐的 job_key。"""
|
|
body = await request.json()
|
|
job_key = body.get("job_key", "")
|
|
job = _running_jobs.get(job_key)
|
|
if job and not job.done:
|
|
job.cancel_event.set()
|
|
return {"ok": True}
|
|
return {"ok": False, "message": "任务不存在或已完成"}
|