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=(',',':')))