复制 local 代码到 serve
This commit is contained in:
@@ -0,0 +1,474 @@
|
||||
"""回测 API — 信号回测 + 因子回测 + 策略回测。"""
|
||||
from __future__ import annotations
|
||||
|
||||
import asyncio
|
||||
import json
|
||||
import queue
|
||||
import threading
|
||||
from dataclasses import asdict
|
||||
from datetime import date, timedelta
|
||||
from typing import Literal
|
||||
|
||||
from fastapi import APIRouter, HTTPException, Request
|
||||
from fastapi.responses import StreamingResponse
|
||||
from pydantic import BaseModel, Field
|
||||
|
||||
from app.config import settings
|
||||
from app.services.backtest import (
|
||||
BacktestConfig,
|
||||
BacktestService,
|
||||
VectorbtUnavailable,
|
||||
is_available,
|
||||
)
|
||||
|
||||
router = APIRouter(prefix="/api/backtest", tags=["backtest"])
|
||||
|
||||
FACTOR_DEFAULT_DAYS = 180
|
||||
STRATEGY_DEFAULT_DAYS = 365 * 3
|
||||
BACKTEST_MAX_SERVER_DAYS = 186
|
||||
FACTOR_MAX_SYMBOLS = 1000
|
||||
BACKTEST_SERVER_GUARD_MESSAGE = (
|
||||
"当前服务器内存约 1.8GB，回测区间最多支持 6 个月；"
|
||||
"更长周期容易触发 OOM，建议在 8GB 以上内存环境或本机运行。"
|
||||
)
|
||||
|
||||
|
||||
def _get_engine(request: Request):
|
||||
"""获取或创建 BacktestEngine (单例，PanelCache 跨请求生效)。"""
|
||||
from app.backtest.engine import BacktestEngine
|
||||
engine = getattr(request.app.state, "backtest_engine", None)
|
||||
if engine is None:
|
||||
engine = BacktestEngine(request.app.state.repo)
|
||||
request.app.state.backtest_engine = engine
|
||||
return engine
|
||||
|
||||
|
||||
def _resolve_start(req: BaseModel, end: date, default_days: int) -> date:
|
||||
"""未传 start 使用默认区间；显式传 null/空值表示全部历史。"""
|
||||
start = getattr(req, "start")
|
||||
if start is not None:
|
||||
return start
|
||||
if "start" in req.model_fields_set:
|
||||
return date(1900, 1, 1)
|
||||
return end - timedelta(days=default_days)
|
||||
|
||||
|
||||
def _guard_server_backtest_range(start: date, end: date):
|
||||
if not settings.backtest_range_guard:
|
||||
return
|
||||
days = (end - start).days + 1
|
||||
if days > BACKTEST_MAX_SERVER_DAYS:
|
||||
raise HTTPException(status_code=400, detail=BACKTEST_SERVER_GUARD_MESSAGE)
|
||||
|
||||
|
||||
# ================================================================
|
||||
# 状态
|
||||
# ================================================================
|
||||
|
||||
@router.get("/status")
|
||||
def status():
|
||||
"""前端可用此接口判断回测页是否要灰显。"""
|
||||
return {"available": True}
|
||||
|
||||
|
||||
# ================================================================
|
||||
# 信号回测 (现有接口，保持不变)
|
||||
# ================================================================
|
||||
|
||||
class BacktestRequest(BaseModel):
|
||||
symbols: list[str] = Field(..., min_length=1)
|
||||
start: date | None = None
|
||||
end: date | None = None
|
||||
entries: list[str] = []
|
||||
exits: list[str] = []
|
||||
stop_loss_pct: float | None = None
|
||||
max_hold_days: int | None = None
|
||||
fees_pct: float = 0.0002
|
||||
slippage_bps: float = 5
|
||||
matching: Literal["close_t", "open_t+1"] = "close_t"
|
||||
|
||||
|
||||
@router.post("/run")
|
||||
def run(req: BacktestRequest, request: Request):
|
||||
"""信号回测 — 现有接口，向后兼容。"""
|
||||
repo = request.app.state.repo
|
||||
svc = BacktestService(repo)
|
||||
end = req.end or date.today()
|
||||
start = req.start or (end - timedelta(days=365 * 3))
|
||||
|
||||
cfg = BacktestConfig(
|
||||
symbols=req.symbols,
|
||||
start=start,
|
||||
end=end,
|
||||
entries=req.entries,
|
||||
exits=req.exits,
|
||||
stop_loss_pct=req.stop_loss_pct,
|
||||
max_hold_days=req.max_hold_days,
|
||||
fees_pct=req.fees_pct,
|
||||
slippage_bps=req.slippage_bps,
|
||||
matching=req.matching,
|
||||
)
|
||||
try:
|
||||
result = svc.run(cfg)
|
||||
except VectorbtUnavailable as e:
|
||||
raise HTTPException(status_code=503, detail=str(e)) from e
|
||||
return asdict(result)
|
||||
|
||||
|
||||
# ================================================================
|
||||
# 因子回测
|
||||
# ================================================================
|
||||
|
||||
class FactorColumnsResponse(BaseModel):
|
||||
columns: list[dict]
|
||||
|
||||
|
||||
@router.get("/factor/columns")
|
||||
def factor_columns():
|
||||
"""返回可用的因子列列表。"""
|
||||
from app.backtest.factor import FACTOR_COLUMNS
|
||||
return {"columns": FACTOR_COLUMNS}
|
||||
|
||||
|
||||
class FactorBacktestRequest(BaseModel):
|
||||
factor_name: str
|
||||
symbols: list[str] | None = None
|
||||
start: date | None = None
|
||||
end: date | None = None
|
||||
n_groups: int = 5
|
||||
rebalance: Literal["daily", "weekly", "monthly"] = "monthly"
|
||||
weight: Literal["equal", "factor_weight"] = "equal"
|
||||
fees_pct: float = 0.0002
|
||||
slippage_bps: float = 5.0
|
||||
|
||||
|
||||
@router.post("/factor/run")
|
||||
def factor_run(req: FactorBacktestRequest, request: Request):
|
||||
"""因子回测 — IC/IR 分析 + 分层回测。"""
|
||||
from app.backtest.factor import FactorBacktestService, FactorConfig
|
||||
|
||||
engine = _get_engine(request)
|
||||
svc = FactorBacktestService(engine)
|
||||
|
||||
end = req.end or date.today()
|
||||
start = _resolve_start(req, end, STRATEGY_DEFAULT_DAYS)
|
||||
_guard_server_backtest_range(start, end)
|
||||
symbols = req.symbols if req.symbols else None
|
||||
if symbols is not None and len(symbols) > FACTOR_MAX_SYMBOLS:
|
||||
raise HTTPException(
|
||||
status_code=400,
|
||||
detail=f"指定标的最多支持 {FACTOR_MAX_SYMBOLS} 只，请缩小标的范围。",
|
||||
)
|
||||
|
||||
cfg = FactorConfig(
|
||||
factor_name=req.factor_name,
|
||||
symbols=symbols,
|
||||
start=start,
|
||||
end=end,
|
||||
n_groups=req.n_groups,
|
||||
rebalance=req.rebalance,
|
||||
weight=req.weight,
|
||||
fees_pct=req.fees_pct,
|
||||
slippage_bps=req.slippage_bps,
|
||||
)
|
||||
result = svc.run(cfg)
|
||||
return asdict(result)
|
||||
|
||||
|
||||
# ================================================================
|
||||
# 策略回测
|
||||
# ================================================================
|
||||
|
||||
class StrategyBacktestRequest(BaseModel):
|
||||
strategy_id: str
|
||||
symbols: list[str] | None = None
|
||||
start: date | None = None
|
||||
end: date | None = None
|
||||
params: dict | None = None
|
||||
overrides: dict | None = None
|
||||
# matching 向后兼容; 显式传 entry_fill/exit_fill 时以二者为准。
|
||||
matching: Literal["close_t", "open_t+1"] = "open_t+1"
|
||||
entry_fill: Literal["close_t", "open_t+1"] | None = None
|
||||
exit_fill: Literal["close_t", "open_t+1"] | None = None
|
||||
fees_pct: float = 0.0002
|
||||
slippage_bps: float = 5.0
|
||||
max_positions: int = 10
|
||||
max_exposure_pct: float = 1.0
|
||||
initial_capital: float = 1_000_000.0
|
||||
position_sizing: Literal["equal", "score_weight"] = "equal"
|
||||
mode: Literal["position", "full"] = "position"
|
||||
holding_days: int = 5
|
||||
|
||||
|
||||
@router.post("/strategy/run")
|
||||
def strategy_run(req: StrategyBacktestRequest, request: Request):
|
||||
"""策略回测 — 复用 StrategyDef 体系做全周期回测。"""
|
||||
from app.backtest.strategy import StrategyBacktestService, StrategyBacktestConfig
|
||||
|
||||
engine = _get_engine(request)
|
||||
strategy_engine = request.app.state.strategy_engine
|
||||
svc = StrategyBacktestService(engine, strategy_engine)
|
||||
|
||||
end = req.end or date.today()
|
||||
start = _resolve_start(req, end, FACTOR_DEFAULT_DAYS)
|
||||
_guard_server_backtest_range(start, end)
|
||||
|
||||
cfg = StrategyBacktestConfig(
|
||||
strategy_id=req.strategy_id,
|
||||
symbols=req.symbols if req.symbols else None,
|
||||
start=start,
|
||||
end=end,
|
||||
params=req.params,
|
||||
overrides=req.overrides,
|
||||
matching=req.matching,
|
||||
entry_fill=req.entry_fill,
|
||||
exit_fill=req.exit_fill,
|
||||
fees_pct=req.fees_pct,
|
||||
slippage_bps=req.slippage_bps,
|
||||
max_positions=req.max_positions,
|
||||
max_exposure_pct=req.max_exposure_pct,
|
||||
initial_capital=req.initial_capital,
|
||||
position_sizing=req.position_sizing,
|
||||
mode=req.mode,
|
||||
holding_days=req.holding_days,
|
||||
)
|
||||
result = svc.run(cfg)
|
||||
return asdict(result)
|
||||
|
||||
|
||||
# ── SSE 流式回测 (实时进度 + 可取消 + 支持重连) ───────────────────
|
||||
|
||||
import time
|
||||
import hashlib
|
||||
|
||||
|
||||
class _BacktestJob:
|
||||
"""单个回测任务的状态, 存模块级供重连使用。"""
|
||||
__slots__ = ("key", "cancel_event", "progress", "result", "error", "done", "finish_ts")
|
||||
|
||||
def __init__(self, key: str):
|
||||
self.key = key
|
||||
self.cancel_event = threading.Event()
|
||||
self.progress: list[dict] = [] # 进度历史 (新连接可回放)
|
||||
self.result = None # 完成后的结果
|
||||
self.error: str | None = None
|
||||
self.done = False
|
||||
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)。"""
|
||||
now = time.time()
|
||||
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 _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,
|
||||
) -> 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}"
|
||||
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,
|
||||
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,
|
||||
):
|
||||
"""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 StrategyBacktestService, StrategyBacktestConfig
|
||||
|
||||
engine = _get_engine(request)
|
||||
strategy_engine = request.app.state.strategy_engine
|
||||
svc = StrategyBacktestService(engine, strategy_engine)
|
||||
|
||||
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))
|
||||
|
||||
# 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,
|
||||
)
|
||||
|
||||
_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
|
||||
|
||||
# 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,
|
||||
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),
|
||||
)
|
||||
|
||||
def _run_backtest():
|
||||
try:
|
||||
result = svc.run(cfg, lambda d: job.progress.append(d), job.cancel_event)
|
||||
job.result = result
|
||||
job.done = True
|
||||
job.finish_ts = time.time()
|
||||
except Exception as e:
|
||||
job.error = str(e)
|
||||
job.done = True
|
||||
job.finish_ts = time.time()
|
||||
|
||||
# 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
|
||||
if hasattr(r, "error") and r.error == "cancelled":
|
||||
yield f"event: error\ndata: {json.dumps({'message': '回测已取消'}, ensure_ascii=False)}\n\n"
|
||||
elif hasattr(r, "error") and r.error:
|
||||
yield f"event: error\ndata: {json.dumps({'message': r.error}, ensure_ascii=False)}\n\n"
|
||||
else:
|
||||
yield f"event: done\ndata: {json.dumps(asdict(r), 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]
|
||||
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")),
|
||||
)
|
||||
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"}
|
||||
|
||||
Reference in New Issue
Block a user