搭建期货量化管理后台 MVP，支持行情查看、博弈分析、持仓录入、品种合约管理

2026-07-24 21:38:40 +08:00
parent d06ed06f01
commit 1ff2aa17e8
22 changed files with 1486 additions and 0 deletions
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+from fastapi import APIRouter, Depends, Request
+from fastapi.responses import HTMLResponse
+from sqlalchemy.orm import Session
+from app.database import get_db
+from app.models import PositionSnapshot
+from app.engine.game_theory import net_position, net_pnl, format_pnl
+
+router = APIRouter(prefix="/analysis", tags=["analysis"])
+
+INSTITUTIONS = ["中信期货", "高盛期货", "国泰君安期货", "华泰期货", "东证期货", "银河期货"]
+
+
+@router.get("/", response_class=HTMLResponse)
+def analysis_page(request: Request, db: Session = Depends(get_db)):
+    latest_snap = (
+        db.query(PositionSnapshot.date)
+        .order_by(PositionSnapshot.date.desc())
+        .first()
+    )
+
+    if not latest_snap:
+        template = request.app.state.templates.get_template("analysis.html")
+        return HTMLResponse(
+            template.render(request=request, active_nav="analysis", rows=[], latest_date=None)
+        )
+
+    latest_date = latest_snap[0]
+    current_price = 913  # TODO: fetch from daily_bars or akshare
+
+    rows = []
+    totals = {"long_pos": 0, "short_pos": 0, "net_pos": 0, "pnl": 0.0}
+    total_net_short = 0
+    pnl_sum = 0.0
+
+    for inst in INSTITUTIONS:
+        long = (
+            db.query(PositionSnapshot)
+            .filter(
+                PositionSnapshot.institution == inst,
+                PositionSnapshot.direction == "long",
+                PositionSnapshot.date == latest_date,
+            )
+            .first()
+        )
+        short = (
+            db.query(PositionSnapshot)
+            .filter(
+                PositionSnapshot.institution == inst,
+                PositionSnapshot.direction == "short",
+                PositionSnapshot.date == latest_date,
+            )
+            .first()
+        )
+
+        long_pos = long.position if long else 0
+        short_pos = short.position if short else 0
+        long_cost = long.avg_cost if long else 0
+        short_cost = short.avg_cost if short else 0
+
+        np = net_position(long_pos, short_pos)
+        pnl = 0.0
+        if np < 0:
+            pnl = net_pnl(np, short_cost, current_price)
+        elif np > 0:
+            pnl = net_pnl(np, long_cost, current_price)
+
+        totals["long_pos"] += long_pos
+        totals["short_pos"] += short_pos
+        totals["net_pos"] += np
+        pnl_sum += pnl
+        if np < 0:
+            total_net_short += abs(np)
+
+        rows.append({
+            "institution": inst,
+            "long_pos": f"{long_pos / 10000:.1f}万" if long_pos else "—",
+            "short_pos": f"{short_pos / 10000:.1f}万" if short_pos else "—",
+            "long_cost": f"{long_cost:.2f}" if long_cost else "—",
+            "short_cost": f"{short_cost:.2f}" if short_cost else "—",
+            "net_pos": f"净{'多' if np > 0 else '空'} {abs(np) / 10000:.1f}万",
+            "pnl": format_pnl(pnl),
+            "pnl_raw": pnl,
+        })
+
+    template = request.app.state.templates.get_template("analysis.html")
+    return HTMLResponse(
+        template.render(
+            request=request,
+            active_nav="analysis",
+            rows=rows,
+            totals={
+                "long_pos": f"{totals['long_pos'] / 10000:.1f}万",
+                "short_pos": f"{totals['short_pos'] / 10000:.1f}万",
+                "net_pos": f"净{'多' if totals['net_pos'] > 0 else '空'} {abs(totals['net_pos']) / 10000:.1f}万",
+                "pnl": format_pnl(pnl_sum),
+            },
+            latest_date=latest_date.strftime("%Y-%m-%d"),
+            current_price=current_price,
+            total_net_short=f"{total_net_short / 10000:.1f}万",
+            total_pnl=format_pnl(pnl_sum),
+        )
+    )