update

app/backtest/engine.py

@@ -47,6 +47,7 @@ class PortfolioState:
 class BacktestResult:
     nav_series: List[Dict[str, float]] = field(default_factory=list)
     trades: List[Dict[str, str]] = field(default_factory=list)
+    risk_events: List[Dict[str, object]] = field(default_factory=list)
 
 
 class BacktestEngine:
@@ -65,6 +66,22 @@ class BacktestEngine:
             DepartmentManager(app_cfg) if app_cfg.departments else None
         )
         self.data_broker = DataBroker()
+        params = cfg.params or {}
+        self.risk_params = {
+            "max_position_weight": float(params.get("max_position_weight", 0.2)),
+            "max_daily_turnover_ratio": float(params.get("max_daily_turnover_ratio", 0.25)),
+            "fee_rate": float(params.get("fee_rate", 0.0005)),
+            "slippage_bps": float(params.get("slippage_bps", 10.0)),
+        }
+        self._fee_rate = max(self.risk_params["fee_rate"], 0.0)
+        self._slippage_rate = max(self.risk_params["slippage_bps"], 0.0) / 10_000.0
+        self._turnover_cap = max(self.risk_params["max_daily_turnover_ratio"], 0.0)
+        self._buy_actions = {
+            AgentAction.BUY_S,
+            AgentAction.BUY_M,
+            AgentAction.BUY_L,
+        }
+        self._sell_actions = {AgentAction.SELL}
         department_scope: set[str] = set()
         for settings in app_cfg.departments.values():
             department_scope.update(settings.data_scope)
@@ -389,7 +406,12 @@ class BacktestEngine:
         trade_date_str = trade_date.isoformat()
         price_map: Dict[str, float] = {}
         decisions_map: Dict[str, Decision] = {}
+        feature_cache: Dict[str, Mapping[str, Any]] = {}
         for ts_code, context, decision in records:
+            features = context.features or {}
+            if not isinstance(features, Mapping):
+                features = {}
+            feature_cache[ts_code] = features
             scope_values = context.raw.get("scope_values") if context.raw else {}
             if not isinstance(scope_values, Mapping):
                 scope_values = {}
@@ -405,7 +427,7 @@ class BacktestEngine:
 
         if not price_map and state.holdings:
             trade_date_compact = trade_date.strftime("%Y%m%d")
-            for ts_code in state.holdings.keys():
+            for ts_code in list(state.holdings.keys()):
                 fetched = self.data_broker.fetch_latest(ts_code, trade_date_compact, ["daily.close"])
                 price = fetched.get("daily.close")
                 if price:
@@ -421,84 +443,166 @@ class BacktestEngine:
         if portfolio_value_before <= 0:
             portfolio_value_before = state.cash or 1.0
 
-        trades_records: List[Dict[str, Any]] = []
+        daily_turnover = 0.0
+        executed_trades: List[Dict[str, Any]] = []
+        risk_events: List[Dict[str, Any]] = []
+
+        def _record_risk(ts_code: str, reason: str, decision: Decision, extra: Optional[Dict[str, Any]] = None) -> None:
+            payload = {
+                "trade_date": trade_date_str,
+                "ts_code": ts_code,
+                "action": decision.action.value,
+                "target_weight": decision.target_weight,
+                "confidence": decision.confidence,
+                "reason": reason,
+            }
+            if extra:
+                payload.update(extra)
+            risk_events.append(payload)
+
         for ts_code, decision in decisions_map.items():
             price = price_map.get(ts_code)
             if price is None or price <= 0:
                 continue
+            features = feature_cache.get(ts_code, {})
             current_qty = state.holdings.get(ts_code, 0.0)
+            liquidity_score = float(features.get("liquidity_score") or 0.0)
+            risk_penalty = float(features.get("risk_penalty") or 0.0)
+            is_suspended = bool(features.get("is_suspended"))
+            limit_up = bool(features.get("limit_up"))
+            limit_down = bool(features.get("limit_down"))
+            position_limit = bool(features.get("position_limit"))
+
+            if is_suspended:
+                _record_risk(ts_code, "suspended", decision)
+                continue
+            if decision.action in self._buy_actions:
+                if limit_up:
+                    _record_risk(ts_code, "limit_up", decision)
+                    continue
+                if position_limit:
+                    _record_risk(ts_code, "position_limit", decision)
+                    continue
+                if risk_penalty >= 0.95:
+                    _record_risk(ts_code, "risk_penalty", decision, {"risk_penalty": risk_penalty})
+                    continue
+            if decision.action in self._sell_actions and limit_down:
+                _record_risk(ts_code, "limit_down", decision)
+                continue
+
+            effective_weight = max(decision.target_weight, 0.0)
+            if decision.action in self._buy_actions:
+                capped_weight = min(effective_weight, self.risk_params["max_position_weight"])
+                effective_weight = capped_weight * max(0.0, 1.0 - risk_penalty)
+            elif decision.action in self._sell_actions:
+                effective_weight = 0.0
+
             desired_qty = current_qty
-            if decision.action is AgentAction.SELL:
+            if decision.action in self._sell_actions:
                 desired_qty = 0.0
-            elif decision.action is AgentAction.HOLD:
+            elif decision.action in self._buy_actions or effective_weight >= 0.0:
-                desired_qty = current_qty
+                desired_value = max(effective_weight, 0.0) * portfolio_value_before
-            else:
+                desired_qty = desired_value / price if price > 0 else current_qty
-                target_weight = max(decision.target_weight, 0.0)
-                desired_value = target_weight * portfolio_value_before
-                if desired_value > 0:
-                    desired_qty = desired_value / price
-                else:
-                    desired_qty = current_qty
 
             delta = desired_qty - current_qty
             if abs(delta) < 1e-6:
                 continue
 
-            if delta > 0:
+            if delta > 0 and self._turnover_cap > 0:
-                cost = delta * price
+                liquidity_scalar = max(liquidity_score, 0.1)
-                if cost > state.cash:
+                max_trade_value = self._turnover_cap * portfolio_value_before * liquidity_scalar
-                    affordable_qty = state.cash / price if price > 0 else 0.0
+                if max_trade_value > 0 and delta * price > max_trade_value:
-                    delta = max(0.0, affordable_qty)
+                    delta = max_trade_value / price
-                    cost = delta * price
                     desired_qty = current_qty + delta
-                if delta <= 0:
+
+            if delta > 0:
+                trade_price = price * (1.0 + self._slippage_rate)
+                per_share_cost = trade_price * (1.0 + self._fee_rate)
+                if per_share_cost <= 0:
+                    _record_risk(ts_code, "invalid_price", decision)
                     continue
-                total_cost = state.cost_basis.get(ts_code, 0.0) * current_qty + cost
+                max_affordable = state.cash / per_share_cost if per_share_cost > 0 else 0.0
+                if delta > max_affordable:
+                    if max_affordable <= 1e-6:
+                        _record_risk(ts_code, "insufficient_cash", decision)
+                        continue
+                    delta = max_affordable
+                    desired_qty = current_qty + delta
+
+                trade_value = delta * trade_price
+                fee = trade_value * self._fee_rate
+                total_cash_needed = trade_value + fee
+                if total_cash_needed <= 0:
+                    _record_risk(ts_code, "invalid_trade", decision)
+                    continue
+
+                previous_cost = state.cost_basis.get(ts_code, 0.0) * current_qty
                 new_qty = current_qty + delta
-                state.cost_basis[ts_code] = total_cost / new_qty if new_qty > 0 else 0.0
+                state.cost_basis[ts_code] = (
-                state.cash -= cost
+                    (previous_cost + trade_value + fee) / new_qty if new_qty > 0 else 0.0
+                )
+                state.cash -= total_cash_needed
                 state.holdings[ts_code] = new_qty
                 state.opened_dates.setdefault(ts_code, trade_date_str)
-                trades_records.append(
+                daily_turnover += trade_value
+                executed_trades.append(
                     {
                         "trade_date": trade_date_str,
                         "ts_code": ts_code,
                         "action": "buy",
                         "quantity": float(delta),
-                        "price": price,
+                        "price": trade_price,
-                        "value": cost,
+                        "base_price": price,
+                        "value": trade_value,
+                        "fee": fee,
+                        "slippage": trade_price - price,
                         "confidence": decision.confidence,
                         "target_weight": decision.target_weight,
+                        "effective_weight": effective_weight,
+                        "risk_penalty": risk_penalty,
+                        "liquidity_score": liquidity_score,
+                        "status": "executed",
                     }
                 )
             else:
-                sell_qty = abs(delta)
+                sell_qty = min(abs(delta), current_qty)
-                if sell_qty > current_qty:
+                if sell_qty <= 1e-6:
-                    sell_qty = current_qty
+                    continue
-                    delta = -sell_qty
+                trade_price = price * (1.0 - self._slippage_rate)
-                proceeds = sell_qty * price
+                trade_price = max(trade_price, 0.0)
+                gross_value = sell_qty * trade_price
+                fee = gross_value * self._fee_rate
+                proceeds = gross_value - fee
                 cost_basis = state.cost_basis.get(ts_code, 0.0)
-                realized = (price - cost_basis) * sell_qty
+                realized = (trade_price - cost_basis) * sell_qty - fee
                 state.cash += proceeds
                 state.realized_pnl += realized
-                new_qty = current_qty + delta
+                new_qty = current_qty - sell_qty
                 if new_qty <= 1e-6:
                     state.holdings.pop(ts_code, None)
                     state.cost_basis.pop(ts_code, None)
                     state.opened_dates.pop(ts_code, None)
                 else:
                     state.holdings[ts_code] = new_qty
-                trades_records.append(
+                daily_turnover += gross_value
+                executed_trades.append(
                     {
                         "trade_date": trade_date_str,
                         "ts_code": ts_code,
                         "action": "sell",
                         "quantity": float(sell_qty),
-                        "price": price,
+                        "price": trade_price,
-                        "value": proceeds,
+                        "base_price": price,
+                        "value": gross_value,
+                        "fee": fee,
+                        "slippage": price - trade_price,
                         "confidence": decision.confidence,
                         "target_weight": decision.target_weight,
+                        "effective_weight": effective_weight,
+                        "risk_penalty": risk_penalty,
+                        "liquidity_score": liquidity_score,
                         "realized_pnl": realized,
+                        "status": "executed",
                     }
                 )
 
@@ -521,10 +625,13 @@ class BacktestEngine:
                 "market_value": market_value,
                 "realized_pnl": state.realized_pnl,
                 "unrealized_pnl": unrealized_pnl,
+                "turnover": daily_turnover,
             }
         )
-        if trades_records:
+        if executed_trades:
-            result.trades.extend(trades_records)
+            result.trades.extend(executed_trades)
+        if risk_events:
+            result.risk_events.extend(risk_events)
 
         try:
             self._persist_portfolio(
@@ -532,9 +639,10 @@ class BacktestEngine:
                 state,
                 market_value,
                 unrealized_pnl,
-                trades_records,
+                executed_trades,
                 price_map,
                 decisions_map,
+                daily_turnover,
             )
         except Exception:  # noqa: BLE001
             LOGGER.exception("持仓数据写入失败", extra=LOG_EXTRA)
@@ -590,6 +698,7 @@ class BacktestEngine:
         trades: List[Dict[str, Any]],
         price_map: Dict[str, float],
         decisions_map: Dict[str, Decision],
+        daily_turnover: float,
     ) -> None:
         holdings_rows: List[tuple] = []
         for ts_code, qty in state.holdings.items():
@@ -623,6 +732,7 @@ class BacktestEngine:
 
         snapshot_metadata = {
             "holdings": len(state.holdings),
+            "turnover_value": daily_turnover,
         }
 
         with db_session() as conn:
@@ -662,7 +772,7 @@ class BacktestEngine:
                     """
                     INSERT INTO portfolio_trades
                     (trade_date, ts_code, action, quantity, price, fee, order_id, source, notes, metadata)
-                    VALUES (?, ?, ?, ?, ?, 0, NULL, 'backtest', NULL, ?)
+                    VALUES (?, ?, ?, ?, ?, ?, NULL, 'backtest', NULL, ?)
                     """,
                     [
                         (
@@ -671,6 +781,7 @@ class BacktestEngine:
                             trade["action"],
                             trade["quantity"],
                             trade["price"],
+                            trade.get("fee", 0.0),
                             json.dumps(trade, ensure_ascii=False),
                         )
                         for trade in trades
@@ -708,6 +819,7 @@ def _persist_backtest_results(cfg: BtConfig, result: BacktestResult) -> None:
     nav_rows: List[tuple] = []
     trade_rows: List[tuple] = []
     summary_payload: Dict[str, object] = {}
+    turnover_sum = 0.0
 
     if result.nav_series:
         first_nav = float(result.nav_series[0].get("nav", 0.0) or 0.0)
@@ -721,6 +833,7 @@ def _persist_backtest_results(cfg: BtConfig, result: BacktestResult) -> None:
             market_value = float(entry.get("market_value", 0.0) or 0.0)
             realized = float(entry.get("realized_pnl", 0.0) or 0.0)
             unrealized = float(entry.get("unrealized_pnl", 0.0) or 0.0)
+            turnover = float(entry.get("turnover", 0.0) or 0.0)
 
             if nav_val > peak_nav:
                 peak_nav = nav_val
@@ -738,7 +851,9 @@ def _persist_backtest_results(cfg: BtConfig, result: BacktestResult) -> None:
                 "market_value": market_value,
                 "realized_pnl": realized,
                 "unrealized_pnl": unrealized,
+                "turnover": turnover,
             }
+            turnover_sum += turnover
             nav_rows.append(
                 (
                     cfg.id,
@@ -763,6 +878,9 @@ def _persist_backtest_results(cfg: BtConfig, result: BacktestResult) -> None:
                 "days": len(result.nav_series),
             }
         )
+        if turnover_sum:
+            summary_payload["total_turnover"] = turnover_sum
+            summary_payload["avg_turnover"] = turnover_sum / max(len(result.nav_series), 1)
 
     if result.trades:
         for trade in result.trades:
@@ -789,6 +907,14 @@ def _persist_backtest_results(cfg: BtConfig, result: BacktestResult) -> None:
             )
         summary_payload["trade_count"] = len(trade_rows)
 
+    if result.risk_events:
+        summary_payload["risk_events"] = len(result.risk_events)
+        breakdown: Dict[str, int] = {}
+        for event in result.risk_events:
+            reason = str(event.get("reason") or "unknown")
+            breakdown[reason] = breakdown.get(reason, 0) + 1
+        summary_payload["risk_breakdown"] = breakdown
+
     cfg_payload = {
         "id": cfg.id,
         "name": cfg.name,

app/ingest/tushare.py

@@ -21,6 +21,7 @@ from app.utils.config import get_config
 from app.utils.db import db_session
 from app.data.schema import initialize_database
 from app.utils.logging import get_logger
+from app.features.factors import compute_factor_range
 
 
 LOGGER = get_logger(__name__)
@@ -1616,4 +1617,20 @@ def run_ingestion(job: FetchJob, include_limits: bool = True) -> None:
         raise
     else:
         alerts.clear_warnings("TuShare")
+        if job.granularity == "daily":
+            try:
+                LOGGER.info("开始计算因子：%s", job.name, extra=LOG_EXTRA)
+                compute_factor_range(
+                    job.start,
+                    job.end,
+                    ts_codes=job.ts_codes,
+                    skip_existing=False,
+                )
+            except Exception as exc:
+                alerts.add_warning("Factors", f"因子计算失败：{job.name}", str(exc))
+                LOGGER.exception("因子计算失败 job=%s", job.name, extra=LOG_EXTRA)
+                raise
+            else:
+                alerts.clear_warnings("Factors")
+                LOGGER.info("因子计算完成：%s", job.name, extra=LOG_EXTRA)
         LOGGER.info("任务 %s 完成", job.name, extra=LOG_EXTRA)

app/utils/data_access.py

@@ -3,7 +3,9 @@ from __future__ import annotations
 
 import re
 import sqlite3
-from dataclasses import dataclass
+from collections import OrderedDict
+from copy import deepcopy
+from dataclasses import dataclass, field
 from datetime import datetime, timedelta
 from typing import Any, ClassVar, Dict, Iterable, List, Optional, Sequence, Tuple
 
@@ -91,6 +93,16 @@ class DataBroker:
     MAX_WINDOW: ClassVar[int] = 120
     BENCHMARK_INDEX: ClassVar[str] = "000300.SH"
 
+    enable_cache: bool = True
+    latest_cache_size: int = 256
+    series_cache_size: int = 512
+    _latest_cache: OrderedDict = field(init=False, repr=False)
+    _series_cache: OrderedDict = field(init=False, repr=False)
+
+    def __post_init__(self) -> None:
+        self._latest_cache = OrderedDict()
+        self._series_cache = OrderedDict()
+
     def fetch_latest(
         self,
         ts_code: str,
@@ -98,15 +110,19 @@ class DataBroker:
         fields: Iterable[str],
     ) -> Dict[str, Any]:
         """Fetch the latest value (<= trade_date) for each requested field."""
+        field_list = [str(item) for item in fields if item]
+        cache_key: Optional[Tuple[Any, ...]] = None
+        if self.enable_cache and field_list:
+            cache_key = (ts_code, trade_date, tuple(sorted(field_list)))
+            cached = self._cache_lookup(self._latest_cache, cache_key)
+            if cached is not None:
+                return deepcopy(cached)
 
         grouped: Dict[str, List[str]] = {}
         field_map: Dict[Tuple[str, str], List[str]] = {}
         derived_cache: Dict[str, Any] = {}
         results: Dict[str, Any] = {}
-        for item in fields:
+        for field_name in field_list:
-            if not item:
-                continue
-            field_name = str(item)
             resolved = self.resolve_field(field_name)
             if not resolved:
                 derived = self._resolve_derived_field(
@@ -125,6 +141,13 @@ class DataBroker:
             field_map.setdefault((table, column), []).append(field_name)
 
         if not grouped:
+            if cache_key is not None and results:
+                self._cache_store(
+                    self._latest_cache,
+                    cache_key,
+                    deepcopy(results),
+                    self.latest_cache_size,
+                )
             return results
 
         try:
@@ -160,6 +183,23 @@ class DataBroker:
                                 results[original] = value
         except sqlite3.OperationalError as exc:
             LOGGER.debug("数据库只读连接失败：%s", exc, extra=LOG_EXTRA)
+            if cache_key is not None:
+                cached = self._cache_lookup(self._latest_cache, cache_key)
+                if cached is not None:
+                    LOGGER.debug(
+                        "使用缓存结果 ts_code=%s trade_date=%s",
+                        ts_code,
+                        trade_date,
+                        extra=LOG_EXTRA,
+                    )
+                    return deepcopy(cached)
+        if cache_key is not None and results:
+            self._cache_store(
+                self._latest_cache,
+                cache_key,
+                deepcopy(results),
+                self.latest_cache_size,
+            )
         return results
 
     def fetch_series(
@@ -185,6 +225,14 @@ class DataBroker:
             )
             return []
         table, resolved = resolved_field
+
+        cache_key: Optional[Tuple[Any, ...]] = None
+        if self.enable_cache:
+            cache_key = (table, resolved, ts_code, end_date, window)
+            cached = self._cache_lookup(self._series_cache, cache_key)
+            if cached is not None:
+                return [tuple(item) for item in cached]
+
         query = (
             f"SELECT trade_date, {resolved} FROM {table} "
             "WHERE ts_code = ? AND trade_date <= ? "
@@ -211,6 +259,17 @@ class DataBroker:
                 exc,
                 extra=LOG_EXTRA,
             )
+            if cache_key is not None:
+                cached = self._cache_lookup(self._series_cache, cache_key)
+                if cached is not None:
+                    LOGGER.debug(
+                        "使用缓存时间序列 table=%s column=%s ts_code=%s",
+                        table,
+                        resolved,
+                        ts_code,
+                        extra=LOG_EXTRA,
+                    )
+                    return [tuple(item) for item in cached]
             return []
         series: List[Tuple[str, float]] = []
         for row in rows:
@@ -218,6 +277,13 @@ class DataBroker:
             if value is None:
                 continue
             series.append((row["trade_date"], float(value)))
+        if cache_key is not None and series:
+            self._cache_store(
+                self._series_cache,
+                cache_key,
+                tuple(series),
+                self.series_cache_size,
+            )
         return series
 
     def fetch_flags(
@@ -612,6 +678,26 @@ class DataBroker:
         cache[table] = columns
         return columns
 
+    def _cache_lookup(self, cache: OrderedDict, key: Tuple[Any, ...]) -> Optional[Any]:
+        if key in cache:
+            cache.move_to_end(key)
+            return cache[key]
+        return None
+
+    def _cache_store(
+        self,
+        cache: OrderedDict,
+        key: Tuple[Any, ...],
+        value: Any,
+        limit: int,
+    ) -> None:
+        if not self.enable_cache or limit <= 0:
+            return
+        cache[key] = value
+        cache.move_to_end(key)
+        while len(cache) > limit:
+            cache.popitem(last=False)
+
     def _resolve_column(self, table: str, column: str) -> Optional[str]:
         columns = self._get_table_columns(table)
         if columns is None: