新增价差回测、宏观数据管理和交易信号框架

Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>

trade.py

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+"""
+每日交易信号汇总。
+开盘前跑一下，输出当天方向建议。
+"""
+import sqlite3
+from datetime import datetime
+from macro import direction as macro_direction, init as macro_init
+
+DB_PATH = "/Users/vipg/Documents/futures-data-warehouse/db/futures.db"
+
+def main():
+    macro_init()
+
+    today = datetime.now().strftime("%Y%m%d")
+
+    # 1. 宏观方向
+    dir, reason = macro_direction()
+    print(f"日期: {today}")
+    print(f"宏观方向: {dir}")
+    print(f"依据: {reason}")
+
+    if dir == "观望":
+        print("\n建议: 今天不交易")
+        return
+
+    # 2. 持仓量最大的主力合约
+    conn = sqlite3.connect(DB_PATH)
+    main_row = conn.execute("""
+        SELECT d.ts_code, d.open, d.close, d.high, d.low, d.oi
+        FROM daily d
+        JOIN contracts c ON d.ts_code = c.ts_code
+        WHERE d.trade_date = ? AND c.delist_date > ? AND d.oi > 0
+        ORDER BY d.oi DESC LIMIT 1
+    """, (today, today)).fetchone()
+    conn.close()
+
+    if main_row:
+        ts, open_p, close_p, high, low, oi = main_row
+        print(f"\n主力合约: {ts}")
+        print(f"昨收: {close_p}  持仓: {int(oi):,}")
+    else:
+        print("\n注意: 今日行情数据尚未拉取，请先运行 update.py")
+        print("或使用历史近似的合约数据")
+
+    # 3. 交易提醒
+    print(f"\n{'='*40}")
+    print(f"今日计划: {dir}")
+    print(f"  开盘后确认方向后入场")
+    print(f"  止损: 5跳")
+    print(f"  收盘前5分钟平仓")
+    print(f"{'='*40}")
+    print(f"\n风控提醒:")
+    print(f"  - 单笔止损严格执行 5 跳")
+    print(f"  - 连续亏损 3 天暂停交易")
+    print(f"  - 累计盈利达标后买入期权做保护")
+
+
+if __name__ == "__main__":
+    main()