mirror of
https://ghfast.top/https://github.com/aeroxw/tick-stock-panel.git
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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
387 lines
14 KiB
Python
387 lines
14 KiB
Python
"""Spawn-isolated strategy backtest and optimizer task runner."""
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from __future__ import annotations
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import json
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import logging
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import multiprocessing as mp
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import os
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import queue
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import threading
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import time
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import traceback
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from collections.abc import Callable
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from contextlib import suppress
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from dataclasses import asdict
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from datetime import date
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from pathlib import Path
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from typing import Any
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import psutil
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logger = logging.getLogger(__name__)
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class BacktestWorkerError(RuntimeError):
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"""Raised when a spawned worker fails before returning a task result."""
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_CANCEL_GRACE_SECONDS = 5.0
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class _PeakRssSampler:
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"""Track whole-task and resettable phase RSS peaks with one sampling thread."""
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def __init__(self, interval_seconds: float = 0.05) -> None:
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if interval_seconds <= 0:
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raise ValueError("RSS sample interval must be positive")
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self._process = psutil.Process(os.getpid())
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self._interval_seconds = float(interval_seconds)
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self._stop = threading.Event()
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self._thread = threading.Thread(target=self._sample, daemon=True)
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self._lock = threading.Lock()
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self._started = False
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current = int(self._process.memory_info().rss)
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self.peak_rss_bytes = current
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self._phase_peak_rss_bytes = current
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def start(self) -> None:
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if self._started:
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raise RuntimeError("RSS sampler has already started")
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self._started = True
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self._thread.start()
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def stop(self) -> int:
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if self._started:
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self._stop.set()
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self._thread.join(timeout=1.0)
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self._record_current()
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return self.peak_rss_bytes
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def reset_phase(self) -> None:
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current = int(self._process.memory_info().rss)
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with self._lock:
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self._phase_peak_rss_bytes = current
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def phase_peak_rss_bytes(self) -> int:
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self._record_current()
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with self._lock:
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return self._phase_peak_rss_bytes
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def _record_current(self) -> None:
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current = int(self._process.memory_info().rss)
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with self._lock:
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self.peak_rss_bytes = max(self.peak_rss_bytes, current)
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self._phase_peak_rss_bytes = max(self._phase_peak_rss_bytes, current)
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def _sample(self) -> None:
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while not self._stop.wait(self._interval_seconds):
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self._record_current()
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def _rss_bytes() -> int:
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return int(psutil.Process(os.getpid()).memory_info().rss)
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def _strategy_dirs(data_dir: Path) -> list[Path]:
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app_dir = Path(__file__).resolve().parents[1]
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return [
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app_dir / "strategy" / "builtin",
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data_dir / "strategies" / "custom",
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data_dir / "strategies" / "ai",
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data_dir / "strategies" / "composite",
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]
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def _decode_backtest_config(payload: dict[str, Any]):
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from app.backtest.strategy import StrategyBacktestConfig
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values = dict(payload)
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values["start"] = date.fromisoformat(values["start"])
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values["end"] = date.fromisoformat(values["end"])
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return StrategyBacktestConfig(**values)
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def _decode_optimize_config(payload: dict[str, Any]):
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from app.backtest.optimizer import OptimizeConfig
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values = dict(payload)
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values["start"] = date.fromisoformat(values["start"])
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values["end"] = date.fromisoformat(values["end"])
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return OptimizeConfig(**values)
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def _decode_walkforward_config(payload: dict[str, Any]):
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from app.backtest.walkforward import WalkForwardConfig
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values = dict(payload)
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values["start"] = date.fromisoformat(values["start"])
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values["end"] = date.fromisoformat(values["end"])
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return WalkForwardConfig(**values)
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def encode_backtest_config(config) -> dict[str, Any]:
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payload = asdict(config)
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payload["start"] = config.start.isoformat()
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payload["end"] = config.end.isoformat()
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return payload
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def encode_optimize_config(config) -> dict[str, Any]:
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payload = asdict(config)
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payload["start"] = config.start.isoformat()
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payload["end"] = config.end.isoformat()
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return payload
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def make_worker_task(kind: str, data_dir: Path, config) -> dict[str, Any]:
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if kind == "backtest":
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encoded = encode_backtest_config(config)
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elif kind == "optimize":
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encoded = encode_optimize_config(config)
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elif kind == "walkforward":
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encoded = asdict(config)
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encoded["start"] = config.start.isoformat()
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encoded["end"] = config.end.isoformat()
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elif kind == "mining":
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if not isinstance(config, dict):
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raise TypeError("mining worker config must be a dict")
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encoded = dict(config)
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else:
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raise ValueError(f"unsupported worker task kind: {kind}")
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return {
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"kind": kind,
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"data_dir": str(data_dir.resolve()),
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"config": encoded,
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}
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def _attach_worker_metrics(
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kind: str,
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result: dict[str, Any],
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metrics: dict[str, Any],
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) -> None:
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if kind == "backtest":
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result.setdefault("stats", {})["worker"] = metrics
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else:
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result["worker"] = metrics
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def _worker_entry(task: dict[str, Any], event_queue, cancel_event) -> None:
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sampler = _PeakRssSampler()
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sampler.start()
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started = time.perf_counter()
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store = None
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try:
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from app.backtest.engine import BacktestEngine
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from app.backtest.optimizer import StrategyOptimizer
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from app.backtest.strategy import StrategyBacktestService
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from app.strategy import config as strategy_config
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from app.strategy.engine import StrategyEngine
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from app.tickflow.repository import DataStore, KlineRepository
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data_dir = Path(task["data_dir"])
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store = DataStore(data_dir)
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repo = KlineRepository(store)
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# 子进程不继承主进程的因子注册表; 自定义/复合因子 (uf_/cf_) 在任何
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# 涉及因子物化的 worker 任务里都依赖注册表, 启动时从存储加载。
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# 单个加载失败只跳过 (fail-open 跳过该因子), 与主进程启动行为一致。
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from app.factors.store import load_into_registry
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load_into_registry(data_dir)
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strategy_engine = StrategyEngine(
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strategy_dirs=_strategy_dirs(data_dir),
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override_loader=lambda sid: strategy_config.load_override(data_dir, sid),
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)
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service = StrategyBacktestService(BacktestEngine(repo), strategy_engine)
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def _progress(message: dict) -> None:
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event_queue.put({"type": "progress", "payload": message})
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kind = task["kind"]
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if kind == "backtest":
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config = _decode_backtest_config(task["config"])
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result = asdict(service.run(config, _progress, cancel_event))
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elif kind == "optimize":
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config = _decode_optimize_config(task["config"])
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optimizer = StrategyOptimizer(service, strategy_engine)
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result = optimizer.optimize(
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config,
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_progress,
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cancel_event,
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rss_sampler=sampler,
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)
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elif kind == "walkforward":
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from app.backtest.walkforward import WalkForwardService
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config = _decode_walkforward_config(task["config"])
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optimizer = StrategyOptimizer(service, strategy_engine)
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walkforward = WalkForwardService(optimizer, service, strategy_engine)
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result = walkforward.run(config, _progress, cancel_event)
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elif kind == "mining":
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from app.backtest.mining_runtime import run_mining_runtime
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result = run_mining_runtime(
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task["config"],
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data_dir=data_dir,
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service=service,
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strategy_engine=strategy_engine,
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progress_cb=_progress,
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cancel_check=cancel_event,
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rss_sampler=sampler,
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)
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else:
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raise ValueError(f"unsupported worker task kind: {kind}")
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serialization_started = time.perf_counter()
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serialized_bytes = len(
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json.dumps(result, ensure_ascii=False, default=str).encode("utf-8")
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)
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serialization_ms = round(
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(time.perf_counter() - serialization_started) * 1000,
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1,
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)
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peak_rss = sampler.stop()
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metrics = {
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"pid": os.getpid(),
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"peak_rss_bytes": peak_rss,
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"final_rss_bytes": _rss_bytes(),
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"serialization_ms": serialization_ms,
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"serialized_result_bytes": serialized_bytes,
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"task_elapsed_ms": round((time.perf_counter() - started) * 1000, 1),
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}
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_attach_worker_metrics(kind, result, metrics)
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event_queue.put({"type": "result", "payload": result})
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except BaseException as exc:
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with suppress(Exception):
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sampler.stop()
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event_queue.put({
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"type": "error",
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"message": str(exc),
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"traceback": traceback.format_exc(),
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})
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finally:
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if store is not None:
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with suppress(Exception):
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store.db.close()
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# 终态消息已入队: 显式冲刷队列后立即退出。put 只是入队, 实际写管道的
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# 是后台 feeder 线程, close+join_thread 保证消息完整落管 (否则父进程误判
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# "exited without result"); 大数据量任务再跳过解释器 teardown (GC、DuckDB
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# 线程 join、DLL 卸载), 否则收尾可达数十秒, 撞上父进程 10s 退出预算。
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with suppress(Exception):
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event_queue.close()
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event_queue.join_thread()
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os._exit(0)
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def run_worker_task(
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task: dict[str, Any],
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progress_cb: Callable[[dict], None] | None = None,
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cancel_event: threading.Event | None = None,
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) -> dict[str, Any]:
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"""Run one complete task in a spawned process and wait for deterministic exit."""
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context = mp.get_context("spawn")
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events = context.Queue()
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process_cancel = context.Event()
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process = context.Process(
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target=_worker_entry,
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args=(task, events, process_cancel),
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daemon=False,
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)
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parent_rss_before = _rss_bytes()
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try:
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process.start()
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except BaseException:
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events.close()
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events.join_thread()
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raise
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result: dict[str, Any] | None = None
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failure: dict[str, Any] | None = None
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ipc_started = time.perf_counter()
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cancel_started: float | None = None
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try:
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while result is None and failure is None:
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if cancel_event is not None and cancel_event.is_set():
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process_cancel.set()
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if cancel_started is None:
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cancel_started = time.monotonic()
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elif time.monotonic() - cancel_started >= _CANCEL_GRACE_SECONDS:
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process.terminate()
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process.join(timeout=5.0)
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raise BacktestWorkerError(
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"backtest worker did not stop within 5 seconds after cancellation"
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)
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try:
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message = events.get(timeout=0.1)
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except queue.Empty:
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if not process.is_alive():
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break
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continue
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message_type = message.get("type")
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if message_type == "progress":
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if progress_cb is not None:
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progress_cb(message["payload"])
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elif message_type == "result":
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result = message["payload"]
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elif message_type == "error":
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failure = message
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# 子进程退出后, 队列读线程可能尚未把管道尾部的 result/error 搬进本地缓冲
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# (0.1s 轮询在系统高负载下会先看到 Empty+进程已死)。join 后做一次兜底排空,
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# 只要消息完整刷入过管道就一定能取到。
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if result is None and failure is None:
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for _ in range(2):
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try:
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message = events.get(timeout=1.0)
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except queue.Empty:
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break
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message_type = message.get("type")
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if message_type == "result":
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result = message["payload"]
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elif message_type == "error":
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failure = message
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process.join(timeout=10.0)
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worker_exit_forcibly = False
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if process.is_alive():
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# 终态消息 (result/error) 已完整送达, 子进程只是退出收尾慢:
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# 强制结束并继续走结果/错误处理, 不把已送达的成功结果当失败丢弃。
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process.terminate()
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process.join(timeout=5.0)
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worker_exit_forcibly = True
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logger.warning(
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"%s worker delivered its terminal message but did not exit within "
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"10s; terminated forcibly (exitcode=%s)",
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task["kind"],
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process.exitcode,
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)
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if failure is not None:
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raise BacktestWorkerError(
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f"{failure.get('message', 'worker failed')}\n{failure.get('traceback', '')}".rstrip()
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)
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if result is None:
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raise BacktestWorkerError(
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f"backtest worker exited without result (exitcode={process.exitcode})"
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)
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parent_metrics = {
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"ipc_elapsed_ms": round((time.perf_counter() - ipc_started) * 1000, 1),
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"parent_rss_before_bytes": parent_rss_before,
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"parent_rss_after_worker_exit_bytes": _rss_bytes(),
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"worker_exitcode": process.exitcode,
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"worker_exit_forcibly": worker_exit_forcibly,
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}
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kind = task["kind"]
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if kind == "backtest":
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result.setdefault("stats", {}).setdefault("worker", {}).update(parent_metrics)
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else:
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result.setdefault("worker", {}).update(parent_metrics)
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return result
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finally:
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if process.is_alive():
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process.terminate()
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process.join(timeout=5.0)
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events.close()
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events.join_thread()
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