refactor portfolio tables with cfg_id and optimize record handling
This commit is contained in:
sam
parent
2220b5084e
commit
74d98bf4e0
@ -508,25 +508,19 @@ class DecisionEnv:
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return self._last_action
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def _clear_portfolio_records(self) -> None:
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start = self._template_cfg.start_date.isoformat()
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end = self._template_cfg.end_date.isoformat()
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cfg_id = self._template_cfg.id or "decision_env"
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try:
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with db_session() as conn:
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conn.execute("DELETE FROM portfolio_positions")
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conn.execute(
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"DELETE FROM portfolio_snapshots WHERE trade_date BETWEEN ? AND ?",
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(start, end),
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)
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conn.execute(
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"DELETE FROM portfolio_trades WHERE trade_date BETWEEN ? AND ?",
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(start, end),
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)
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conn.execute("DELETE FROM bt_portfolio_positions WHERE cfg_id = ?", (cfg_id,))
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conn.execute("DELETE FROM bt_portfolio_snapshots WHERE cfg_id = ?", (cfg_id,))
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conn.execute("DELETE FROM bt_portfolio_trades WHERE cfg_id = ?", (cfg_id,))
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except Exception: # noqa: BLE001
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LOGGER.exception("清理投资组合记录失败", extra=LOG_EXTRA)
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def _fetch_portfolio_records(self) -> Tuple[List[Dict[str, Any]], List[Dict[str, Any]]]:
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start = self._template_cfg.start_date.isoformat()
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end = self._template_cfg.end_date.isoformat()
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cfg_id = self._template_cfg.id or "decision_env"
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snapshots: List[Dict[str, Any]] = []
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trades: List[Dict[str, Any]] = []
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try:
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@ -535,20 +529,20 @@ class DecisionEnv:
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"""
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SELECT trade_date, total_value, cash, invested_value,
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unrealized_pnl, realized_pnl, net_flow, exposure, metadata
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FROM portfolio_snapshots
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WHERE trade_date BETWEEN ? AND ?
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FROM bt_portfolio_snapshots
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WHERE cfg_id = ? AND trade_date BETWEEN ? AND ?
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ORDER BY trade_date
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""",
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(start, end),
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(cfg_id, start, end),
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).fetchall()
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trade_rows = conn.execute(
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"""
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SELECT id, trade_date, ts_code, action, quantity, price, fee, source, metadata
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FROM portfolio_trades
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WHERE trade_date BETWEEN ? AND ?
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FROM bt_portfolio_trades
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WHERE cfg_id = ? AND trade_date BETWEEN ? AND ?
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ORDER BY trade_date, id
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""",
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(start, end),
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(cfg_id, start, end),
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).fetchall()
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except Exception: # noqa: BLE001
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LOGGER.exception("读取投资组合记录失败", extra=LOG_EXTRA)
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@ -70,6 +70,7 @@ class PortfolioState:
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cost_basis: Dict[str, float] = field(default_factory=dict)
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opened_dates: Dict[str, str] = field(default_factory=dict)
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realized_pnl: float = 0.0
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realized_pnl_by_symbol: Dict[str, float] = field(default_factory=dict)
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@dataclass
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@ -618,13 +619,48 @@ class BacktestEngine:
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price_map[ts_code] = price
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decisions_map[ts_code] = decision
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if not price_map and state.holdings:
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trade_date_compact = trade_date.strftime("%Y%m%d")
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for ts_code in list(state.holdings.keys()):
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fetched = self.data_broker.fetch_latest(ts_code, trade_date_compact, ["daily.close"], auto_refresh=False)
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price = fetched.get("daily.close")
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if price:
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price_map[ts_code] = float(price)
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missing_prices: set[str] = {
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code for code in decisions_map.keys() if code not in price_map
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}
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missing_prices.update(code for code in state.holdings.keys() if code not in price_map)
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if missing_prices:
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for ts_code in sorted(missing_prices):
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try:
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fetched = self.data_broker.fetch_latest(
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ts_code,
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trade_date_compact,
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["daily.close"],
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auto_refresh=False,
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)
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except Exception: # noqa: BLE001
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LOGGER.debug(
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"回补价格失败 ts_code=%s date=%s",
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ts_code,
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trade_date_compact,
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extra=LOG_EXTRA,
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)
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continue
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fallback_price = fetched.get("daily.close")
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if fallback_price is None:
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continue
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try:
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price_map[ts_code] = float(fallback_price)
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except (TypeError, ValueError):
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LOGGER.debug(
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"价格解析失败 ts_code=%s raw=%s",
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ts_code,
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fallback_price,
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extra=LOG_EXTRA,
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)
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unresolved = [code for code in missing_prices if code not in price_map]
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if unresolved:
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LOGGER.warning(
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"缺少收盘价，回测将跳过估值：codes=%s date=%s",
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unresolved,
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trade_date_compact,
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extra=LOG_EXTRA,
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)
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portfolio_value_before = state.cash
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for ts_code, qty in state.holdings.items():
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@ -883,6 +919,9 @@ class BacktestEngine:
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realized = (trade_price - current_cost_basis) * sell_qty - fee
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state.cash += proceeds
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state.realized_pnl += realized
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state.realized_pnl_by_symbol[ts_code] = (
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state.realized_pnl_by_symbol.get(ts_code, 0.0) + realized
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)
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new_qty = current_qty - sell_qty
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if new_qty <= 1e-6:
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state.holdings.pop(ts_code, None)
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@ -953,6 +992,7 @@ class BacktestEngine:
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try:
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self._persist_portfolio(
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self.cfg.id,
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trade_date_str,
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state,
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market_value,
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@ -1047,8 +1087,21 @@ class BacktestEngine:
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except sqlite3.Error:
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pass
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def _reset_bt_portfolio_records(self) -> None:
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cfg_id = self.cfg.id
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if not cfg_id:
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return
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try:
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with db_session() as conn:
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conn.execute("DELETE FROM bt_portfolio_snapshots WHERE cfg_id = ?", (cfg_id,))
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conn.execute("DELETE FROM bt_portfolio_positions WHERE cfg_id = ?", (cfg_id,))
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conn.execute("DELETE FROM bt_portfolio_trades WHERE cfg_id = ?", (cfg_id,))
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except Exception: # noqa: BLE001
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LOGGER.exception("清理回测投资组合数据失败 cfg_id=%s", cfg_id, extra=LOG_EXTRA)
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def _persist_portfolio(
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self,
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cfg_id: str,
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trade_date: str,
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state: PortfolioState,
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market_value: float,
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@ -1070,16 +1123,21 @@ class BacktestEngine:
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"last_action": decision.action.value if decision else None,
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"confidence": decision.confidence if decision else None,
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}
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opened_date = state.opened_dates.get(ts_code, trade_date)
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if hasattr(opened_date, "isoformat"):
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opened_date = opened_date.isoformat() # type: ignore[attr-defined]
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holdings_rows.append(
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(
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cfg_id,
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trade_date,
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ts_code,
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state.opened_dates.get(ts_code, trade_date),
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opened_date,
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None,
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qty,
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cost_basis,
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price,
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market_val,
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state.realized_pnl,
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state.realized_pnl_by_symbol.get(ts_code, 0.0),
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unrealized,
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target_weight,
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"open",
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@ -1111,11 +1169,12 @@ class BacktestEngine:
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with db_session() as conn:
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conn.execute(
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"""
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INSERT OR REPLACE INTO portfolio_snapshots
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(trade_date, total_value, cash, invested_value, unrealized_pnl, realized_pnl, net_flow, exposure, notes, metadata)
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INSERT OR REPLACE INTO bt_portfolio_snapshots
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(cfg_id, trade_date, total_value, cash, invested_value, unrealized_pnl, realized_pnl, net_flow, exposure, metadata)
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VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?, ?)
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""",
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(
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cfg_id,
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trade_date,
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market_value + state.cash,
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state.cash,
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@ -1124,37 +1183,45 @@ class BacktestEngine:
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state.realized_pnl,
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net_flow,
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exposure,
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None,
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json.dumps(snapshot_metadata, ensure_ascii=False),
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),
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)
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conn.execute("DELETE FROM portfolio_positions")
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conn.execute(
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"DELETE FROM bt_portfolio_positions WHERE cfg_id = ? AND trade_date = ?",
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(cfg_id, trade_date),
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)
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if holdings_rows:
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conn.executemany(
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"""
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INSERT INTO portfolio_positions
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(ts_code, opened_date, closed_date, quantity, cost_price, market_price, market_value, realized_pnl, unrealized_pnl, target_weight, status, notes, metadata)
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VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?)
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INSERT INTO bt_portfolio_positions
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(cfg_id, trade_date, ts_code, opened_date, closed_date, quantity, cost_price, market_price, market_value, realized_pnl, unrealized_pnl, target_weight, status, notes, metadata)
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VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?)
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""",
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holdings_rows,
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)
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if trades:
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conn.execute(
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"DELETE FROM bt_portfolio_trades WHERE cfg_id = ? AND trade_date = ?",
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(cfg_id, trade_date),
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)
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conn.executemany(
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"""
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INSERT INTO portfolio_trades
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(trade_date, ts_code, action, quantity, price, fee, order_id, source, notes, metadata)
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VALUES (?, ?, ?, ?, ?, ?, NULL, 'backtest', NULL, ?)
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INSERT INTO bt_portfolio_trades
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(cfg_id, trade_date, ts_code, action, quantity, price, fee, source, metadata)
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VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?)
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""",
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[
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(
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cfg_id,
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trade["trade_date"],
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trade["ts_code"],
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trade["action"],
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trade["quantity"],
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trade["price"],
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trade.get("fee", 0.0),
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float(trade.get("fee", 0.0)),
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str(trade.get("source") or "backtest"),
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json.dumps(trade, ensure_ascii=False),
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)
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for trade in trades
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@ -1196,6 +1263,7 @@ class BacktestEngine:
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self,
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decision_callback: Optional[Callable[[str, date, AgentContext, Decision], None]] = None,
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) -> BacktestResult:
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self._reset_bt_portfolio_records()
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session = self.start_session()
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if session.current_date > self.cfg.end_date:
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return session.result
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@ -436,6 +436,55 @@ SCHEMA_STATEMENTS: Iterable[str] = (
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);
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""",
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"""
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CREATE TABLE IF NOT EXISTS bt_portfolio_snapshots (
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cfg_id TEXT,
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trade_date TEXT,
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total_value REAL,
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cash REAL,
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invested_value REAL,
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unrealized_pnl REAL,
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realized_pnl REAL,
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net_flow REAL,
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exposure REAL,
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metadata TEXT,
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PRIMARY KEY (cfg_id, trade_date)
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);
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""",
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"""
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CREATE TABLE IF NOT EXISTS bt_portfolio_positions (
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cfg_id TEXT,
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trade_date TEXT,
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ts_code TEXT,
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opened_date TEXT,
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closed_date TEXT,
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quantity REAL,
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cost_price REAL,
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market_price REAL,
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market_value REAL,
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realized_pnl REAL,
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unrealized_pnl REAL,
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target_weight REAL,
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status TEXT,
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notes TEXT,
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metadata TEXT,
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PRIMARY KEY (cfg_id, trade_date, ts_code)
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);
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""",
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"""
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CREATE TABLE IF NOT EXISTS bt_portfolio_trades (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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cfg_id TEXT NOT NULL,
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trade_date TEXT NOT NULL,
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ts_code TEXT NOT NULL,
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action TEXT NOT NULL,
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quantity REAL NOT NULL,
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price REAL NOT NULL,
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fee REAL DEFAULT 0,
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source TEXT,
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metadata TEXT
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);
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""",
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"""
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CREATE TABLE IF NOT EXISTS run_log (
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ts TEXT PRIMARY KEY,
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stage TEXT,
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@ -569,6 +618,9 @@ REQUIRED_TABLES = (
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"bt_risk_events",
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"bt_nav",
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"bt_report",
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"bt_portfolio_snapshots",
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"bt_portfolio_positions",
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"bt_portfolio_trades",
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"run_log",
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"agent_utils",
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"alloc_log",
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@ -130,6 +130,61 @@ SCHEMA_STATEMENTS = [
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metadata TEXT -- JSON object
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);
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""",
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# 回测组合快照表
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"""
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CREATE TABLE IF NOT EXISTS bt_portfolio_snapshots (
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cfg_id TEXT,
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trade_date TEXT,
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total_value REAL,
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cash REAL,
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invested_value REAL,
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unrealized_pnl REAL,
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realized_pnl REAL,
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net_flow REAL,
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exposure REAL,
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metadata TEXT,
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PRIMARY KEY (cfg_id, trade_date)
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);
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""",
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# 回测持仓表
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"""
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CREATE TABLE IF NOT EXISTS bt_portfolio_positions (
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cfg_id TEXT,
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trade_date TEXT,
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ts_code TEXT,
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opened_date TEXT,
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closed_date TEXT,
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quantity REAL,
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cost_price REAL,
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market_price REAL,
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market_value REAL,
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realized_pnl REAL,
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unrealized_pnl REAL,
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target_weight REAL,
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status TEXT,
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notes TEXT,
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metadata TEXT,
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PRIMARY KEY (cfg_id, trade_date, ts_code)
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);
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""",
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# 回测交易表
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"""
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CREATE TABLE IF NOT EXISTS bt_portfolio_trades (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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cfg_id TEXT NOT NULL,
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trade_date TEXT NOT NULL,
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ts_code TEXT NOT NULL,
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action TEXT NOT NULL,
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quantity REAL NOT NULL,
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price REAL NOT NULL,
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fee REAL DEFAULT 0,
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source TEXT,
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metadata TEXT
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);
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""",
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]
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Reference in New Issue
Block a user