feat: 完成模拟交易闭环、App 与 A 股行情接入

统一单入口 Go 工程与前端依赖目录，增加后台供应商配置、候选审核、计划预算、成交冲正、持仓复盘和站内通知。接入策略版本、Python 回测、可配置 A 股公开行情及 zap 文件轮转日志，补充迁移、契约与验证。
2026-10-08 22:58:52 +08:00
parent bffdb3858b
commit 92329ddce2
145 changed files with 18593 additions and 587 deletions
@@ -0,0 +1,55 @@
+import sys, json
+from decimal import Decimal
+
+def cents(value):
+    n = Decimal(value) * 100
+    if n != n.to_integral_value() or n <= 0:
+        raise ValueError('invalid price')
+    return int(n)
+
+def money(value):
+    return ('-' if value < 0 else '') + str(abs(value)//100) + '.' + str(abs(value)%100).zfill(2)
+
+def run(data):
+    p = data['parameters']
+    bars = data['bars']
+    cash = int(Decimal(data['initial_cash'])*100)
+    initial = cash
+    quantity, cost, peak, drawdown, previous = 0, 0, cash, 0, False
+    trades, equity = [], []
+    closes = [cents(b['close']) for b in bars]
+    for i, bar in enumerate(bars):
+        # Only preceding completed bars generate a signal. Execute at next open.
+        if i >= p['long_window']:
+            short = sum(closes[i-p['short_window']:i]) * p['long_window']
+            long = sum(closes[i-p['long_window']:i]) * p['short_window']
+            bullish = short > long
+            open_price = cents(bar['open'])
+            if bullish and not previous and quantity == 0:
+                price = (open_price*(10000+p['slippage_bps'])+9999)//10000
+                unit = p['lot_size']
+                units = cash*10000//(price*unit*(10000+p['fee_bps']))
+                quantity = units*unit
+                gross = quantity*price
+                fee = (gross*p['fee_bps']+9999)//10000
+                if quantity:
+                    cash -= gross+fee
+                    cost = gross+fee
+                    trades.append({'date':bar['date'],'side':'BUY','quantity':str(quantity),'price':money(price),'fee':money(fee),'realized_pnl':None})
+            elif not bullish and previous and quantity:
+                price = max(1,open_price*(10000-p['slippage_bps'])//10000)
+                gross = quantity*price
+                fee = (gross*p['fee_bps']+9999)//10000
+                cash += gross-fee
+                trades.append({'date':bar['date'],'side':'SELL','quantity':str(quantity),'price':money(price),'fee':money(fee),'realized_pnl':money(gross-fee-cost)})
+                quantity, cost = 0, 0
+            previous = bullish
+        value = cash+quantity*closes[i]
+        peak = max(peak,value)
+        drawdown = max(drawdown,(peak-value)*10000//peak)
+        equity.append({'date':bar['date'],'equity':money(value)})
+    final = cash+quantity*closes[-1]
+    return {'engine_version':'sma_cross_v1','final_equity':money(final),'cash':money(cash),'remaining_quantity':str(quantity),'total_return_bps':(final-initial)*10000//initial,'max_drawdown_bps':drawdown,'trades':trades,'equity_curve':equity,'valuation':'Final close valuation; open positions are not liquidated.'}
+
+if __name__ == '__main__':
+    print(json.dumps(run(json.load(sys.stdin)),separators=(',',':')))
@@ -0,0 +1,46 @@
+// Package research executes the embedded Python research engine with bounded inputs.
+package research
+
+import (
+	"bytes"
+	"context"
+	_ "embed"
+	"encoding/json"
+	"errors"
+	"os"
+	"os/exec"
+	"time"
+)
+
+//go:embed backtest.py
+var script string
+
+type Engine struct{ executable string }
+
+func New(executable string) *Engine { return &Engine{executable} }
+func (e *Engine) Execute(ctx context.Context, input json.RawMessage) (json.RawMessage, error) {
+	ctx, cancel := context.WithTimeout(ctx, 20*time.Second)
+	defer cancel()
+	cmd := exec.CommandContext(ctx, e.executable, "-I", "-c", script)
+	// No application credentials or Python startup configuration reach the child.
+	cmd.Env = []string{"PATH=" + os.Getenv("PATH"), "LANG=en_US.UTF-8"}
+	cmd.Stdin = bytes.NewReader(input)
+	var output boundedBuffer
+	cmd.Stdout = &output
+	if err := cmd.Run(); err != nil {
+		return nil, errors.New("Python research execution failed; check Python installation and input data")
+	}
+	if !json.Valid(output.Bytes()) {
+		return nil, errors.New("invalid research result")
+	}
+	return json.RawMessage(output.Bytes()), nil
+}
+
+type boundedBuffer struct{ bytes.Buffer }
+
+func (b *boundedBuffer) Write(p []byte) (int, error) {
+	if b.Len()+len(p) > 2<<20 {
+		return 0, errors.New("research output exceeds limit")
+	}
+	return b.Buffer.Write(p)
+}
@@ -0,0 +1,55 @@
+package research
+
+import (
+	"context"
+	"encoding/json"
+	"git.sundynix.cn/Blizzard/Veyra/internal/model"
+	"os/exec"
+	"testing"
+)
+
+func TestNoLookaheadAndExactCash(t *testing.T) {
+	python, e := exec.LookPath("python3")
+	if e != nil {
+		t.Fatal("Python 3 is required for research tests")
+	}
+	values := []string{"10.00", "9.00", "8.00", "20.00", "21.00", "7.00", "6.00", "5.00"}
+	bars := make([]model.HistoricalBar, len(values))
+	for i, p := range values {
+		bars[i] = model.HistoricalBar{Date: []string{"2025-01-01", "2025-01-02", "2025-01-03", "2025-01-04", "2025-01-05", "2025-01-06", "2025-01-07", "2025-01-08"}[i], Open: p, High: p, Low: p, Close: p}
+	}
+	input := model.ResearchInput{BacktestInput: model.BacktestInput{InitialCash: "10000.00", Bars: bars}, Parameters: model.StrategyParameters{ShortWindow: 2, LongWindow: 3, FeeBPS: 10, SlippageBPS: 0, LotSize: 100}}
+	data, _ := json.Marshal(input)
+	result, e := New(python).Execute(context.Background(), data)
+	if e != nil {
+		t.Fatal(e)
+	}
+	var got struct {
+		FinalEquity string `json:"final_equity"`
+		Trades      []struct{ Date, Side, Quantity, Price, Fee string }
+	}
+	if e := json.Unmarshal(result, &got); e != nil {
+		t.Fatal(e)
+	}
+	if len(got.Trades) != 2 || got.Trades[0].Date != "2025-01-05" || got.Trades[0].Side != "BUY" || got.Trades[0].Quantity != "400" || got.Trades[0].Fee != "8.40" || got.Trades[1].Date != "2025-01-07" || got.FinalEquity != "3989.20" {
+		t.Fatalf("unexpected result: %s", result)
+	}
+	// Changing the current close cannot change a trade at that day's open.
+	input.Bars[4].Close = "1.00"
+	data, _ = json.Marshal(input)
+	result, e = New(python).Execute(context.Background(), data)
+	if e != nil {
+		t.Fatal(e)
+	}
+	var changed struct {
+		Trades []struct{ Date, Side, Quantity, Price, Fee string }
+	}
+	if json.Unmarshal(result, &changed) != nil || len(changed.Trades) == 0 || changed.Trades[0] != got.Trades[0] {
+		t.Fatal("current close leaked into open execution")
+	}
+}
+func TestMissingInterpreter(t *testing.T) {
+	if _, e := New("/not/an/interpreter").Execute(context.Background(), json.RawMessage(`{}`)); e == nil {
+		t.Fatal("missing Python must fail")
+	}
+}